In the skillet, heat the butter over medium low heat until melted.
Add the onion and saute until wilted but not brown.
Add the bell peppers and the corn and stir to coat everything with butter, sprinkle with some salt, pepper, and cayenne, and continue cooking over med-low heat, stirring frequently, until all liquid (if any) completely evaporates, the vegetables start to take on a slight caramalization and the whole room smells really, really good.
(This should take about 20 minutes).
Taste, adjust the seasonings if you need to, and serve.
Note: I say to use a cast iron skillet because, as with cornbread, I believe this dish suffers in flavor if it is not cooked in one.
However, if you don't have one, you can use another skillet- just know that it would be much better cooked in a cast iron skillet.