Red, orange, yellow, etc. are different culivars. Green is a less ripened fruit, unusually the red. According to Wikipedia:
Compared to green peppers, red peppers have more vitamins and nutrients and contain the antioxidant lycopene. The level of carotene, like lycopene, is nine times higher in red peppers. Red peppers have twice the vitamin C content of green peppers. Also, one large red bell pepper contains 209 mg of vitamin C, which is three times the 70 mg of an average orange.
So it doesn't tell you which is "best," or anything about yellow ones, but it's a start. Green are probably the least vitamin-packed.