Plasma Electrolytic Oxidation treatment (PEO, which is sometimes also called MAO—Micro Arc Oxidation) has recently attracted a great deal attention due to its ability to create a thick and adherent coating with excellent corrosion and wear resistance. Some of the main characteristics of PEO coatings are the high porosity of the outer layer and the possibility to incorporate directly into the coating particles that are dispersed into the electrolyte. In particular, this last characteristic is particularly useful due to the fact that it permits easy functionalization of the coated surface. The present work describes the results of the production and characterization of PEO-coated samples of aluminum and magnesium alloys obtained by inserting metallic and non-metallic particles into the coating. The coatings are produced with different current modes (direct or pulsed unipolar) and the incorporation occur by simple dispersion of the particles into the electrolyte used for the PEO treatment. Several types of particles were inserted into the coatings: nano-particles of graphite were inserted in order to improve the wear resistance; metallic particles (copper or silver) were inserted in order to give to the samples bactericidal, fungicidal or antifouling properties; glass particles were included to improve the samples' wear and corrosion properties; and titanium dioxide particles were added to create photocatalytic surfaces. The obtained coatings were, in all cases, characterized both on the surface and in the cross-section through SEM analysis and X-Ray diffraction in order to confirm the presence of the particles and to study the microstructure and morphology of the obtained coatings. Later, specific tests were performed to confirm the specific functionality given to the surface (these took the form of corrosion tests, wear tests, biological tests, or photocatalytic tests). In all the cases, the results revealed significant incorporation of the particles into the coating and good specific functional properties.