Yes, you can plant pepper seeds directly outside in warm regions such as in 9+ growing zones once the soil warms up. However, for most growing regions, we find it's best to start seeds indoors in early spring, then transplant them outside. This is because pepper seeds like consistent warm temperatures, and, to germinate the seeds, a soil temperature of 80-90˚ F is ideal for the most successful & fastest germination. If you do start them indoors, make sure to harden off your pepper seedlings before transplanting outside to avoid transplant shock after night time temperatures have warmed up consistently to 50-60˚ F or higher and all chance of frost has passed.
Here are more tips on how to grow peppers: