Depends on how much current your circuit draws. If it's small, like tens of milliamps, a zener diode is good enough and won't waste too much power. If it's something like hundreds of milliamps, a switching regulator is better since it's much more efficient. A half-wave rectifier (i.e. single diode) plus big cap is sometimes good enough for AC-DC conversion.
I used a MC34063 switching regulator for my sprinkler controller circuit:
look at the "power supply" section on the top-left corner.