If on the off chance they are outside then most likely they were not pollinated enough by bees, wasps whatever. Either you sprayed pesticides (preventing pollinators to do their job) or your garden of just two plants was just too small for nature to do the job. Meaning a bee may have hit a pepper flower, but moved on to some other flowers not other pepper flowers. Other issues for peppers is that they need consistency when it comes to water, if they wilt at all when in flower the flowers will drop and there will be no peppers. Ideally one should water each plant while in bloom with a hose or a watering can AT THE SOIL LEVEL every time you water. Spraying with a hose or sprinkler will result in knocking off the flowers - thus no peppers. And the opposite is true as well, if you have been watering too much then you could be losing flowers because the plant is too wet. Once a week you need to apply about 2 inches of water for peppers. If you have them next to tomatoes then you will need too much water (to satisfy the thirsty tomatoes) for the peppers. Temperatures that exceed 100F can produce 'heat shock' in flowering peppers and other vegetables. The air and sun becomes so hot that it causes the plant to dehydrate, usually this results in leaf wilting during the day. Covering the plant with a shade screen material and laying out trays of water around the plants will reduce the issues of heat. Low humidity days you need to keep the pans full, they will evaporate some moisture into the local air, thus reducing the amount of moisture lost by the plant. Shading of course reduces the amount of thermal radiation absorbed via exposure to sunlight. The optimum temperatures for tomatoes and peppers is between 75 and 90 degrees. Heirlooms will still produce at higher temperatures. If you have been having higher heat wait it out. If the plants are indoors or you do not see enough pollinators (bees, wasps, some butterflies, etc) then you may need to hand pollinate: http://www.ehow.com/how_2102682_hand-pollinate-garden-plants.html may be helpful on that score. BTW if you have various types of pepper (Jalapeno, Sweet, Chili, etc) they will cross breed. While this is not a 'bad' thing for first year crops, if you try to reuse the seed you may end up with peppers you do not want on the plants. Lastly and least common is very poor soil. Peppers do well in a wide range of soils as long as that soil allows some drainage. However a 'dead' soil, one with little to no organic material or one where someone has used pesticides to kill pests (Thus killing worms and other helpful critters) can also lead to quick blossoms that do fairly well, but drop producing no fruit.

How long have you had them?