Drain pepperoncini. In non-stick 10" skillet, cook bacon on med-low heat, stirring occasionally until bacon is brown, with slotted spoon, transfer bacon to paper towels to drain. Discard all but 1 tbsp. of bacon drippings.
Drippings in skillet cook shallots & red peppers on medium heat stirring frequently until vegetables are tender (app. 5 min).
In small bowl w/mixer at medium speed, beat cream cheese & milk until smooth. Add bacon & shallots mixture, beat only until combined.
Spoon cream cheese mixture into heavy weight plastic bag w/one corner cut to make 1/4" opening. With small knife cut slit lengthwise in each pepper. Be careful not to cut all the way through pepper.
Squeeze or spoon cream cheese mixture into peppers. Cover and refrigerate up to one day.