Survivors

Although the Chilli is a plant of tropical origin and will seldom survive a UK Winter outdoors, it is quite possible to over-Winter it if kept in a suitably protected environment. Chillis are short-lived perennials and if well cared for can be made to last several years. With our short and often cool Summers it can be hard to bring chilli plants to maturity in a single year if sown from seed, so if you can keep alive a few plants from the previous season you will often get ripe fruit much earlier in the year. I have tried this for several years now, and I have found that a survival rate of about 50% is normal for me - some plants give up very easily, but others are much tougher!
This Winter I brought indoors 5 chilli plants, I put 4 more in my garage (which is integral to the structure of my house, but unheated), and I kept two others in my big coldframe, so 11 in total.
The indoors ones have fared pretty well. All 4 are definitely still alive. This is "Devil's Tongue, Chocolate", looking quite luxuriant for February:

Next to it lives "Jay's Peach", which is a notoriously slow grower in the UK. I grew it from seed last year and didn't expect it to produce any fruit. It eventually did though - you can see some in this photo:

I wouldn't say that it's a strong, or good-looking plant, but it's definitely ALIVE! I'm hoping that as the weather warms up it will fill-out with new growth.
On our Dining-room windowsill sits this little chap:

He's nicknamed "Panama 6", being one of the plants grown from seeds brought to me from Panama by my daughter. He grew incredibly slowly (wishing for warmer weather, I'm sure) and I didn't think he would survive, but he has defied the odds and kept going. Maybe he will flourish this year?
The plants kept indoors have all benefitted from the warmth provided by our central heating, but the ones in the garage and coldframe have not been so lucky. I'm still not sure whether they will pull through. I generally reckon that if a chilli plant still has at least some green color in its stem(s) it will probably be OK, but once it all goes brown, dry and woody it is beyond redemption. This "Aji Limon" one (which I have brought indoors to photograph) still has some green, so it may be OK:

On the other hand, this "Panama 4" (still out in the garage) is probably a goner:

Out in the coldframe (the least attractive of the 3 locations) it's probably 50 / 50. The Rocoto (already over 2 years old) is a pretty hardy type and will probably be OK, but the other one is a "Pimenta Puma", a heat-loving Capsicum Chinense type and is almost certainly dead!

Rocoto "Alberto's Locoto"

"Pimenta Puma"

The point I'm making today is that if you can give your chillis the right conditions (e.g. a greenhouse with artificial heat and light) they will most likely survive (though even keeping them in the warm is no guarantee), but it's also worth a try even if you can't. You could get rid of the plants in Autumn, but you can just as easily do this in the Spring, and if any survive the Winter, so much the better!