I'm sure most technical guys will know this but here are a few tips when designing PSU's.
1) For a linear regulator to work there needs too be a certain voltage level before the device will start to regulate. For devices like the LM78XX series, this is roughly 2 volts. This means that you need to have a minimum of 7 volts input voltage for a 5 volt LM7805 reg to work.
2) On both sides of the linear regulator (input and output) you should place both ceramic and electrolytic capacitors. The electrolytic caps act like a storage tank, keeping the voltage at the desired level when load changes. The ceramic caps help to filter out high frequency waveforms.
3) Placing a power diode from the output to the input (i.e. the cathode on the input side) helps in protecting the linear regulator from high voltages flowing through the reg during power up/down times.
PWM (Pulse Width Modulation)/switching regulators use a generated frequency either fixed by discrete components or variable via a potentiometer or processor to control the output level. The generated frequency helps to make these PSU's efficient but they also suffer from EMF issues if not designed correctly. They should be shielded and if you are laying out the circuit yourself then invest some time into the correct layout of parts to help avoid RF interference.
Hope this helps and isn't just me ranting
