It's definitely quicker to buy one of each at the grocery store than it is to stand in the produce section Googling the difference between red, yellow, orange, and green bell peppers. It also makes you look health conscious instead of confused when you roll up to the counter with a technicolor bag of peppers.
The answer is pretty simple. You've undoubtedly noticed a green pepper with a little red spot, or a yellow pepper that's green on one side. That discoloration gives away their secret. The ripeness of the pepper will dictate its coloring and flavor, and green peppers are the unripe version of red, yellow, and orange peppers.
Green peppers are unripe versions of red, yellow, and orange peppers. They will grow into yellow, orange, or red peppers. When the pepper is green and less ripe, it tends to have a slightly bitter taste that isn't quite as popular with the kids. (It can also cause digestive issues for some people.) As it ages, the pepper sweetens.
This also explains why green peppers are generally cheaper than other bell peppers, the above video from Qriosity notes. The price difference isn't outrageous, but there's often a small price difference between peppers. Since green peppers are harvested earlier, they require fewer resources and less work, making them cost less.
The differences don't end with their taste and price. The nutritional value changes as well. Red peppers contain 11 times more beta-carotene (an antioxidant associated with cancer-fighting properties), eight times more vitamin A, and 1.5 times more vitamin C than green peppers. Yellow peppers have more vitamin C than green peppers, but less vitamin A and beta-carotene. (Though, the Science Explorer notes that green peppers are still loaded with vitamin C.) So, when you pay that extra dime for a red pepper, you're getting bonus vitamins. Totally worth it.
That should be enough information about a simple question to help you become the annoying person lingering in the kitchen the next time you're invited to a dinner party. If that doesn't get you knocked off the invite list for next time, consider pontificating on the history of the baby carrot.