Microprocessors like the Atmel and the PIC do not like power fluctuations. If you draw a lot of current quickly from your regulated supply, you run the risk of a voltage fulctuation that will disrupt the delicate task of computing going on inside the chip. The answer is to use lots of filter capacitors to satisfy anything that uses current in 'spikes', to limit by design the current drawn from the microcontroller's power supply, and to never never never never use inductive loads like motors and relays that take their current from the regulated 5V supply. For those, you want a separate supply, preferablt diurectly from the main DC source.
I'm a bit confused by the 'never never' use inductive loads like motors. Does that include steppers? because I took these instructions:http://www.arduino.cc/en/Tutorial/StepperUnipolar
and made a simple arduino stepper controller. Did i Just get lucky on amperages and such? It works just fine on USB..
Along the same lines of the above comments, I've noticed that my own 9v power supply doesn't seem to finish loading programs when i switch it over. When I check the voltage on the 9v output on the board, I get 8v or so. I'm assuming this is because my supply's output is 300mA which isn't sufficient? (I'm an electro-noob as well, so please correct me)