I've done this, but since I started five years ago only a few of my crosses have flowered. Maybe I can help you on the way, just post any qustions you have here, and I'll try to answer :-)

Hybridizing is fun, but with peonies, unlike most perennials, it takes around 6 years before you see the results, so you need lots of patience. You probably already know the basics, but this page (about Clematis-hybridizing) may be helpful anyway: http://homepage.ntlworld.com/bcollingwood/hybrid.htm Make sure you keep records of all the crosses you attempt.

Make a breeding plan, and build a collection of cultivars (and species) too use when hybridizing. The breeding plan contain your goals, what you want your peony-hybrids to look like.

Here are some desirable qualities you might want to include in your breeding plan:

-Strong stems (many peonies flop in bad weather)
-Good, long-lasting floral display, upfacing or outfacing flowers, several flowers on each stem.
-Disease resistance
-Heat, drought or wet-tolerance
-Fragrance
-Unusual colors/picoteeing/veining/freckling

Also decide what kind of flowers you want, if you want them single or double etc. Your collection of already named cultivars and species should reflect your breeding goals, and it should contain a wide variety of different peonies. (By different I mean in structre of flower, colors, heights etc., not only in name.)

Since there already are lots and lots of great cultivars, it would be better if you choose to hybridize towards something different. Most of the common cultivars on the market today were breed for the cut-flower industry, thus they are quite tall with a single flower on each stem. Most also have double flowers in pink or white shades.

Try hybridizing for veining (like in Paeonia X chamaeleon), unusual colors (black/coral/yellow), low height, dissected foliage (use anomala/tenuifolia etc.), coloured foliage (glaucous like mlokosewitschii or dark red like some of the lactiflora-cvs.)

www.paeo.de and www.helpmefind.com/peony/ are great pages when hybridizing, both include lineage of the cultivars, and can be very helpful when choosing parent plants.