Basically their all the same pepper. The real differences depends on when their picked.
1. Green peppers are unripe when picked. Because they’re picked the earliest, they are considered to have a bitter taste compared to the sweeter tasting yellow, orange and red peppers, however they are still delicious and rich in vitamins A and C and beta-carotene.
2. Orange and yellow peppers are picked at the mid-point of the ripening process and are sweeter than the greens. Compared to green peppers, they contain nearly double the amount of vitamin C, but suffer a drop in vitamin A and beta-carotene with levels at about 1/3 that of the green.
3. Red peppers are picked at the peak of ripeness, and have a much higher nutritional value as well as being quite a bit sweeter than the yellow, orange and green varieties. The reds contain nearly 10 times more vitamin A than green peppers.
For maximum nutritional value they are best eaten raw and though there is a difference in taste (sweetness) they can be interchanged without worry and they do add color to recipes.