The terms "bell pepper" (US, Canada), "pepper" or "sweet pepper" (UK), and "capsicum" (Australia, India, New Zealand and Pakistan) are often used for any of the large bell-shaped peppers, regardless of their color. The vegetable is simply referred to as a "pepper", or additionally by color ("green pepper" or red, yellow, orange, purple, brown, black). In the Midland region of the U.S., bell peppers when stuffed and pickled are sometimes called "mangoes." Canadian English uses both "bell pepper" and "pepper" interchangeably.
I think Wikipedia's summary is pretty good. Usage varies a lot across the English-speaking world.