Thinly slice the zucchini lengthwise into long strips. A mandolin slicer should work well, but you can also just slice thinly with a sharp knife. If thinly sliced, raw zucchini will work great, but you could also grill them for added flavor and to make them softer.

Gently spread the goat cheese in a thin layer across the strip of zucchini. You could add herbs at this point if desired.

Skewer a small piece of red pepper and push it about halfway up.

Roll up the zucchini. Add it below the red pepper on the toothpick.