I think my most favorite roasted appetizer is the half of a Jalapeno pepper stuffed with cream cheese and then wrapped with 1 whole slice of bacon. I use a cast iron skillet and either cook them on the stove or put the skillet in the oven.
I have to say that I usually buy them all made up at a store called HEB. don't know if you have that store where you all live but it's a real time saver and no fooling around with hot pepper juice on your hands. But you can make them for half the price of the premade.