I dont think that you will find some regulators which dont need some external components maybe if you will use some regulators which need just few components .
look at lm5005 .
For what application you need?
Well, i want to run a linksys NSLU2 off battery power the NSLU2 requires 5v, the battery is an 10xAA box with voltage from 10 - 14,5v
The NSLU2 consumes 400 - 750mAh
I started out with an LM7805, it generated a lot of heat - this in turn made me google it, and i quickly found that in my current setup only 40% of the energy get's used, the rest converts to heat Definitely not acceptable on battery power