Place bell peppers on baking sheet. Broil, 4 to 5 inches from heat, 5 minutes on each side or until entire surface of each bell pepper is blistered and blackened slightly. Place bell peppers in paper bag. Close bag; cool 15 to 20 minutes. Cut around cores of bell peppers; twist and remove. Cut bell peppers lengthwise in half. Peel off skin with paring knife; rinse under cold water to remove seeds. Slice bell peppers into 1/2-inch-thick strips; place in shallow dish. Cut avocados into 1/4-inch-thick slices; add to bell peppers. Sprinkle with shallots.
In small bowl, whisk together olive oil, garlic, lemon peel and juice. Pour over bell pepper mixture. Cover; refrigerate at least 1 hour before serving. Season to taste with salt and black pepper.
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