Other than not-being isolated, and hence dangerous, any suggestions on how to do this? I have a couple of ideas now, but have no idea if there might be standard ways of doing this. The issue is how to initially supply power to the control circuits in a power supply before it can start regulating it's own power.

The first diagram uses a zener for bulk regulation, then a linear for fine tuning it. The problem with this approach is current is limited to the power rating of R1, which even at 33mA is already in the 5W range.

The second diagram is a double FET regulator which outputs twice the gate voltage threshold at the output. It plays off the turn-on voltage of the FETS to keep the voltage regulated. It has the advantage of regulating much larger loads than the zener way, but suffers from instability if you start pulling too much current (at least according to LTSpice.)

Any other ideas on how to do this? Or thoughts on my two ideas?

SMPSU's commonly do this, usually it's done via a high value resistor that charges a capacitor, the capacitor charges up and eventually a threshold voltage is reached, and the supply bursts into life. The capacitor has to store enough energy to keep the PSU running until it can be charged normally from the PSU output itself, normally via it's own winding.