Cook your bacon until desired doneness, chop into pieces and reserve bacon fat.
Use the bacon fat to saute the onion, garlic and peppers until tender, spread evenly in the bottom of the skillet and remove from heat.
In a large mixing bowl, whisk together the eggs until smooth.
Pour the heavy cream into the eggs and add the yogurt, whisk until smooth.
Sprinkle the cheddar cheese, salt, pepper and thyme into the egg mixture and whisk to mix.
Evenly place the bacon in the skillet on top of the pepper and onion mixture.
Pour the egg mixture into the skillet, rubbing the pan with extra reserved bacon fat if needed.
Sprinkle the crumbled goat cheese over the top.
Bake the frittata in the oven for about 20 to 30 minutes (depending on depth of eggs in skillet) or until the frittata is mostly set with a slight jiggle in the center.