I don't know of any really cold-tolerant peppers, but admittedly, I haven't done an exhaustive search. And won't - I'm willing to accept what places like New Mexico State University and Texas A&M University have to say, which is that they're annuals for cold-weather places, but perennials for warm-weather places - they've done a lot more research than I care to muster. I look at it from the perspective of someone who grew up in Texas and now lives in Ohio - there are some plants that grow big and gorgeous up here because they don't have to deal with the heat down there. Take the same plants to Texas, and they'll keel over in the summer. The opposite is true, too, and peppers seem to fall in this category. So I'll keep growing my peppers in pots so I can take them inside when it gets cold, and grow the perennials my mom is so jealous of outside (she still lives in TX.)