The basic idea is to blister the skin by exposure to heat, which makes it easy to peel off. This is useful for large chiles having tough skins, such as bell peppers, poblanos, or Anaheim peppers.

Blistering

Method 1: Open flame.
This is the best method, in my opinion. Use a charcoal fire or the flame on a gas stove. Place a chile close enough to the flame that the skin blisters (you will hear a popping sound) within a few seconds. Use tongs to keep turning the chile. Don't let it get too blackened in one spot, but try to make sure every part of the surface, including crevices, is blistered if possible. Once that part is done, make sure there are no glowing embers (e.g., the stem!) on the chile and pop it into a plastic bag to steam. Set aside, and blister your remaining chiles.

Method 2: Electric oven.
If you don't have an open flame handy, you can get by with the broiler in an electric oven. This is less satisfactory, because you risk cooking the flesh of the chile too much. The broiler should be really hot -- keep the door cracked a bit so the heating element won't go off, resulting in a cooler temperature. Place a few chiles on the top rack as close to the heating element as possible. Keep watching, and turn them as they blister. When a chile is completely blistered, stick it into a plastic bag as in Method 1.

Steaming

Let the chiles sit in the plastic bag with their hot, steaming cohorts until they have cooled off enough that they can be handled.

Peeling

At this point, the skin should peel right off. If it's really charred, you can use a knife to scrape it off and then rinse the exterior with water. If there's a stubborn spot with the skin still attached (this happens alot inside dimples and crevices), you can often slip the tip of the knife underneath to get that bit of skin off.