Yeah, I can be a smart ass for sure
But to answer the OP's post:
Linear regulators take a noisy voltage in, step it down usually by 2V or more to your desired voltage, and filter out a lot of the noise. They are inefficient because they dissipate power in direct relationship to how much voltage drop you have across them, and the current through them.
Ex. A regulator with 35V in and 5V out will dissipate a whopping 45W when supplying 1.5Amps.That's 45W dissipated as heat to 7.5W delivered as power
This is of course an extreme example and no one would ever use a regulator like this.
The big plusses with linear regs are very very low ripple and noise, and good output accuract (1% easily acheivable). Also really really cheap. Good to use in analog cktry.
Switchers - don't know much about how they are designed, but they are much more efficient than linear regulators with the drawback of high frequency noise introduced onto the power supply lines. Switchers actually increase in efficiency as output power goes up, maxing out at about 80% of their full output power (at anywhere from 75 to 95 percent efficiency). Switchers can be quite a bit more expensive.
I only use switchers where efficiency is a concern or I need to generate multiple and/or positive and negative voltages from a single DC voltage source. Other than that I always use linears.