For decent current output (3-5A) and cool running I'd really suggest a switchmode power supply. They sound scary, but the NatSemi range of Simple Switchers(tm, no doubt) need an IC, a schottky diode, an inductor and a capacitor... simple!!
Other switchmode ic's are similar and might have lower drop-out which may be important to you if the 12v is coming from a battery.
P.