We introduce analogs of the Hopf algebra of Free quasi-symmetric functions with bases labelled by colored permutations. When the color set is a semigroup, an internal product can be introduced. This leads to the construction of generalized descent algebras associated with wreath products $\Gamma\wr\SG_n$ and to the corresponding generalizations of quasi-symmetric functions. The associated Hopf algebras appear as natural analogs of McMahon's multisymmetric functions. As a consequence, we obtain an internal product on ordinary multi-symmetric functions. We extend these constructions to Hopf algebras of colored parking functions, colored non-crossing partitions and parking functions of type B.