Why should one pre-heat an oven?
It is not a problem to put whole potatoes for roasting in the oven while it heats up.  In fact, it's a good idea.

However, if you are following instructions or cooking times written for a preheated oven, you will need to add about 10 minutes to the cooking time (depending on how fast your oven heats up).  

The rule of thumb I use for this is to add 1/2 of the time my oven takes to heat up to the recommended cooking time.  Since my oven takes about 20 minutes to get to 400F, that's 10 minutes.

However, regarding bell peppers it depends on why you are putting them in the oven.  If you're talking stuffed bell peppers, then it's fine to start with a cold oven.  However, if you are trying to char the peppers to remove the skins, you need to start with an oven that's as hot as possible, otherwise you will cook the peppers to mush before the skins are charred (and, ideally, use the broiler).