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Multi-state models provide a unified framework for the description of the evolution of discrete phenomena in continuous time. One particular example are Markov processes which can be characterised by a set of time-constant transition intensities between the states. In this paper, we will extend such parametric approaches to semiparametric models with flexible transition intensities based on Bayesian versions of penalised splines. The transition intensities will be modelled as smooth functions of time and can further be related to parametric as well as nonparametric covariate effects. Covariates with time-varying effects and frailty terms can be included in addition. Inference will be conducted either fully Bayesian using Markov chain Monte Carlo simulation techniques or empirically Bayesian based on a mixed model representation. A counting process representation of semiparametric multi-state models provides the likelihood formula and also forms the basis for model validation via martingale residual processes. As an application, we will consider human sleep data with a discrete set of sleep states such as REM and Non-REM phases. In this case, simple parametric approaches are inappropriate since the dynamics underlying human sleep are strongly varying throughout the night and individual-specific variation has to be accounted for using covariate information and frailty terms.