Cut sweet peppers in half lengthwise (red, yellow, or green) and clean out seeds. Oil cut surface and inside lightly with olive oil and place in pan, cut side up, so you have little "boats". Place two anchovy filets in an X in the bottom of the boats, or use a little anchovy paste, or skip this, if you hate anchovies. fill the boats with grape or cherry tomatoes in a single layer (I could get about five in each of mine). Drizzle each with 1/2 tsp of olive oil, sprinkle with coarse salt, fresh thyme, and a few capers. Bake at 450 degrees F for about 15 minutes.
One half pepper is a serving, but make as many servings as you want and eat as much as you like, as long as you don't go over your daily added fat allotment (which would be 6 pepper halves)! So, you'll need 2 peppers and about 20 tomatoes for 4 servings, 3 peppers and 30 tomatoes for six, etc.
If you use different colored peppers and a contrasting color of tomatoes, it's gorgeous, like little jewel boxes. I used a yellow pepper with red tomatoes, and a green pepper with yellow tomatoes, and I had a few purple tomatoes thrown in for contrast (I had a "combo" box from the farmer's market). I will keep this recipe for when I want to impress company. Wish I could post a picture but my desktop is down right now, maybe later.