I usually put the sausage in a frying pan half filled with water for like 8 minutes then toss everything in the oven with some garlic, olive oil, salt and pepper for like an hour and it comes put amazing.
It's virtually impossible to screw up sausage and peppers. I usually just chop of the peppers and put it on a sheet pan with the sausage links and quartered onions and bake in the oven until the sausage is done.
I've done both the oven and the stovetop. I tend to do the oven when I just want to throw it on the pan and be done with it. I do the stovetop when I want to put a little more work into it. Still, it's great either way. I can't think of a time I've made sausage and peppers and it didn't turn out good.