Pepper plants (plants in the Capiscum genus) are not actually annuals: in fact, they usually produce more fruit in their second year. Peppers usually need a hot growing season of 120 days, which is not possible in many temperate climates.
If you bring your peppers indoors, with regular pruning, good sunlight, and heat, and they can live for 10 years or more, being most productive in their first 5 years.
If you have a pepper plant you love that is no longer productive, instead of propagating it from seed (and risking hybridisation), you can take cuttings from an over-wintered “mother” plant. This way you get a head-start in terms of growth and fruit production.
Here are some resources to get you started: