I doubt that it's either right or wrong, but I do the following:
Tabasco: Light-green or yellow. They seem to never want to ripen here in Ohio, and when they do, I find their taste to be too strong and overwhelming. Their heat is different when red too, and not in a good way IMO (sharp, quick, and short-lasting). I like them better full-sized and just about ready to change color for the first time. Orange is not too bad either, but I avoid red; not hard to do considering it takes so long to reach it. Because my plant produced so many peppers last year compared to everything else I grew, this is the variety I have the most experience in with the various color stages. I had 20-40 orange and red peppers vs. 250+ green and yellow ones.
Jalapenos: I make sure they're red-ripe, with the intention of having them get sweeter before harvesting. Actually, they tend to get a bit soft by the time I get to them... they should probably be picked *right* when they're completely red, just before they're fully red, or when mature but still completely green if you want them crunchier (like for jalapeno poppers). I've found it hard to time it with only a couple plants though; they never seem to ripen in batches when you want them to. All I know is, when red, I love these in slices on pizza. And damn... they get hot.
Habaneros (and other chinenses): I try to let them change completely to their final color while on the plant; again, to let the peppers' full flavors and sweetness come out.
I haven't done much testing at different stages for most peppers though; I just go by my theory (not sure how accurate it is) that the peppers will have about reached their prime heat and sweetest/fullest flavor right around or just after turning fully ripe (reaching their final color) while still maintaining much of their crunchiness. If you want them crunchier and/or less sweet, then it would make sense to pick them sooner.
