They'll turn if they were picked while they were starting to turn (they can still be green and starting this process)...otherwise they'll stay green and usually go soft before showing any color.

I pick my red/color/etc. peppers when they start to "break" (show some color) on the plant so I know I'll get colored peppers after sitting out for a few days.

Brown bagging doesn't help much...peppers aren't very ethylene receptive.

I've picked some bells and some Numex Sunrise when they were green (and I didn't see any breaks) and they started to turn, but are getting a little wrinkled by that time. Still have 1 type long (as long or longer than Numex), skinny, were turning orange (may have gone to red if they hadn't wrinkled) yet to ID.

Hinklehatz and Thai don't seem to ripen if picked green.

I've concluded it's best to leave them on the plant(s) til they are ripe or almost ripe (just a few spots of green or chocolate brown - Hinkelhatz, Thai and cherry bombs). Weather is nice here now so I can catch up with all the apples we picked this w/e before I have to start pickling peppers.

Yes, jalapenos will turn red if you leave them long enough. To my knowledge this doesn't really affect the taste or heat level, so most commercial operations pick them green to save time and get more harvests per season.

To me the fully ripe red jalapenos taste a bit sweeter. I harvest them both green and red. If nothing else it adds color to a dish.

The ripened Jalapenos are sweeter and often hotter than their immature green counterparts.

Josh