This is fairly common in the Chinese sections of grocery stores although of only one variety and usually made in New York City. That is not quite what the home chef sans recipe desires.

You can make your own by dicing any peppers you wish, put in vegetable oil, add a week or three and strain. Dried works best for this else the water will float to the top making getting a clear oil problematic.

The heat in peppers is the capsaicin which is soluble in oil not water. The more peppers and the less oil the hotter. The hotter the peppers the hotter. The oil will take on the color of the pepper.

It will keep six months or so at room temperature but refrigeration will preserve the flavor. Vary the oil if you are fat conscious but remember there is no cholesterol in vegetable oils, not that it matters, see cholesterol. If you make a mild pepper oil the contribution of the flavor of the oil makes a noticeable contribution. If you are going to fry with it choose an oil that can stand the temperature of frying like peanut oil.

What to do with it. If you like hot stir-fry foods use it for the oil in whatever proportion to other oil or no other oil at all. Do you use black pepper to spice up your morning eggs? You are reading my mind and don't forget adding the strongest to butter or whatever oil you use.

Do you add pepper flakes to your pizza? Drizzle some pepper oil on it before baking.

Pepper oil and vinegar on salads replaces black pepper. Note this indicates making your own dried peppers of different colors for the aesthetics of your table.