In general, the industry has moved to switched mode power supplies for at least two reasons - and the bottom line is probably a cost advantage. The two reasons I can think of - size of the transformer and efficiency. One might think of efficiency as being less important if you are plugged into a wall but less efficiency means more heat - more heat means more need to manage that heat in a system or product.

If you are making your own power supply then the cost/benefit analysis is likely to be unique to your situation. For the do-it-yourselfer it's hard to beat the simplicity of a transformer, rectifier, capacitor and 3 terminal regulator. Plenty to learn by this approach and lots more to construct a switched mode supply. National Semiconductor has a nice website and design tools - never actually built one but you might give that a look.