Preheat oven to 400º F. Line a large baking pan with parchment paper and set aside.
Soak cashews in hot water for at least 30 minutes. Alternatively, soak them overnight in cold water. (skip this step if subbing heavy cream)
Add cubed butternut squash and chopped red pepper to the baking sheet. Drizzle with olive oil, and season with salt and pepper. Toss the vegetables to evenly coat. Roast vegetables for 30 minutes, until softened and lightly charred.
Heat a large soup pot over medium heat. Add olive oil, onions, and garlic. Saute until softened, about 10 minutes.
Add the roasted butternut squash and red peppers to the soup pot, along with the vegetable broth. Bring to a simmer and allow to cook for about 10 minutes.
Add half of the soup mixture and the cashews to a blender, and process until very smooth and creamy. If using an immersion blender, do not use cashews. They will not blend into a cream. See notes for substitions. Repeat with the remaining soup mixture, and return the pureed soup to the pot.
Season the soup with cayenne pepper, and additional salt and pepper, to taste.
Garnish the soup simply with red pepper flakes, or dress it up with bacon, green onions, crispy sage, or hot sauce, as desired.