I do both. I have a set - but large enough - in-ground garden space for all my veg. They're somewhat raised beds that I amend with compost, mulch, etc. The reason I do both is because there are always more peppers that I want to grow than I have space for in-ground and, most importantly, after years of reading and playing around, I get a lot of success out of my potted plants (5 gallon or larger). (I also germinate more than I need and have trouble chucking healthy plants.) In total, I planted 20 peppers in-ground and about 10 in pots.
Going along with JoynersHotPeppers above, the cool thing with pots is changing the medium a bit, the location, etc, so I can see where in my yard different peppers perform best. In actuality, most of my potted peppers look fuller this year. I don't think I pinched off enough of the initial flowers for some of my in-ground peppers.