I buy several kinds...
Poblanos, to stuff the end between the bars tightly (above a perch) so the Rbird can nibble at his leisure.
Jalapenos and Serranos, to toss into the cage's snack-bowl, to trick him into entering so I can shut the door. It's the only way I can get his flighted majesty in!
As has been mentioned, common wisdom is that parrots have such poor taste and smell that hot peppers really excite and stimulate them. And they're very healthy (lots of good green and great nutrents)! So I give the Rickeybird lots! The only downside... when he eats a pepper, then preens, then wants to cudddle, it's a very incendiary experience. I just posted a video of the bird eating one in the thread about beak flavors, and you can hear me sneezing!
https://www.youtube.com/watch?v=Nmgd47hzWuo