Growing chilli from seed is probably the way you're going to have to grow your own chilli. You will from time-to-time find chilli plants for sale in you local nursery, but they're more than likely going to be your more common varieties like birds eye and jalapeno. Follow Mad Mick's advice below and you're more likely to be successful in growing your chosen chilli variety from seed.
Mad Mick finds that germination rates are much better when chilli seeds are planted into a controlled environment that generates a green house effect. These 'mini-greenhouses' are now widely available from hardware stores and nurseries and are very affordable. They range in price from about $10.00 to $30.00. Ensure your mini greenhouse has adequate ventilation to prevent mould growth.

Rather than planting your seeds into pots filled with a seed raising mix, which will require transplanting and the possibility of transplant shock, a product called jiffy pellets make a great alternative. Made mainly from peat, they come in small pellets which expand up to 7 times their original size upon having water poured on them. Best of all you just plant the whole thing out later.

Place the unexpanded jiffy pellet into a pot of similar size, with the seed hole side facing upwards, pour water on it and wait until it fully expands, about ten minutes. Place about three chilli seeds on top and smooth the peat over them, making sure they're covered. Mad Mick wants to warn you to label the pots if you're growing more than one type of chilli, so you don't forget what's in what.
You can use either small plastic pots or the more environmentally friendly peat pots. Not only are they environmentally friendly, you just transplant the whole lot, pot and all, when it is time to move to a bigger pot or into the ground. Mad Mick reckons he achieves improved germination rates using the peat pots by about 20%.

Ensure your jiffy pellets are kept moist, they'll be dark brown when moist and light brown when dry. Use a water sprayer to keep them moist and place the mini-greenhouse in a warm area.
After about 5 days you will start to see germination, at this stage you need to supply your seeds with sunlight. Try just moving the whole mini greenhouse into the sunlight during the day, making sure it isn't direct, blisteringly hot summer sun at this stage.

2 weeks post germination, your chilli plants should be in the sun and kept moist but not wet.
3 weeks post germination you'll see the true leaves starting to appear.

5 weeks post germination, they're starting to look like real chilli plants (Aren't they beautiful?)