They're nice wherever you would normally use bell peppers, in my experience. I don't particularly care for cayenne, but I grew these things for the novelty and ended up liking them quite a bit. I grew the HJ5 (Helix) and HJ6 (Pulsar, I think). Both were worth growing. The things look like mutant cayenne, produce prolifically, and have decent flavor to them. Mine all had less than serrano heat. I'd say the HJ5 did have better flavor, but they're very similar. Fruity, kinda cayenne and bell pepper-y. Virtually no heat until near the stem, like maybe an inch or so. I grilled them and used them both on salads a whole lot.
(Because I had a lot. Just the two plants dumped out buckets of ridiculously warped looking giant cayenne style pods in a season. It was pretty cool.)