Do you remember the basic genetics they teach in high school? Remember that they would set up a basic punnets square to demonstrate simple inheritance?
A little refresher
I can't figure out how to draw a graph in this program, but imagine the little squares drawn around this demo.
R=Red pepper
Y= Yellow pepper
RY=Orange pepper
So, a seed company decides they want to sell an orange pepper to go with their red and yellow peppers. So, one season they breed the (R) red pepper with the (Y)yellow pepper to get a (RY) orange pepper.
...R ...R
Y RY RY
Y RY RY
All the plants of this First Filial Generation (F1) from carry one (RR) gene and one (YY) and produce (RY)orange peppers
So, you buy some seeds and have such lovely and tasty orange peppers that you decide to save seed and grow some more next season. Only, the starting genetic material of the orange peppers is not the same, so what you get in the Second Filial Generation (F2) is:
...R....Y
R RR RY
Y RY YY
About half of the plants you would get would be orange, and about a fourth would look like either the red or the yellow pepper parents. The problem is until the fruit is produced, you won't know which seeds you've planted.
And of course, in the real world there are a lot more genes involved in a F1 cross then a simple single one for color, which is why a lot of folks don't bother to save seed on F1 plants.