Cut lamb into 32 cubes, 2 to 2 1/2 inches each. Place in a large bowl and sprinkle with cumin, salt and pepper. Rub cumin mixture into lamb. Add half of oil and toss together to combine. Set aside. (Lamb can be marinated up to 2 days in advance. Keep tightly covered with foil or plastic wrap and refrigerated.)
Preheat a broiler to high or prepare a medium-hot charcoal fire. Place bell peppers on a broiling pan or directly onto oiled grates. Broil or grill, turning often, until peppers are blistered and charred, about 10 minutes. Remove to a bowl and cover with plastic wrap. Allow peppers to steam for 10 minutes, then remove skin. Cut peppers in half and remove cores, seeds and membranes. Cut peppers into wide strips (you should have 16 red and 16 yellow strips).
Thread lamb cubes onto 8 long skewers, dividing evenly and alternating with strips of pepper. Brush skewers with remaining olive oil and season each with salt and pepper. Broil or grill about 6 inches from source of heat, turning often, until lamb is well browned and firm to touch, 12 to 15 minutes for medium. Transfer to individual plates and serve.