What is your voltage in, voltage out, and output current?
78xx regulators can only go lower, and are not efficient since current in=current out, and the extra voltage is burned up as heat. But quite cheap, effective, and appropriate for many (most, in fact) apps.
There are dc/dc converters which use inductors, they can be quite efficient but always more complicated. Look up "buck converter", "boost converter", "buck boost converter", "cuk converter", "forward converter".