Semiconductor lasers are nowadays simply unavoidable and essential light sources. While their complexity and dynamical behavior have attracted some attention from a fundamental viewpoint, these special properties remain largely left aside in applications outside the lab. The development of multi-wavelength or multi-color lasers may be a turning point in this regard. On the one hand, multi-color lasers allow for simultaneous emission at multiple and controllable modes, thus adding extra versatility to the lasers. On the other hand, the coupling between the different modes may lead to exciting new functionalities and applications exploiting directly the intrinsic dynamical response of the laser itself. In this perspective letter, we describe the role that multi-wavelength lasers may, in our opinion, play in the future in signal processing applications, especially at the mm-wave and subterahertz frequencies.