Thanks for all the info. Didn't realize it was this complicated. 
arduinoaleman:
If your input is already a stabilized DC voltage, maybe a 100nf capacitor will be enough.
However, like I said before, when your input is AC, you will need large capacitors.
Here is what I have in the project.
AC power in.
This power supply to provide 12V DC to the project.
Some parts need less than 12V though.
I have a servo motor that can use up to 7.4 V, and a DC motor that gets its speed controlled by varying the voltage to it from about 1.5 - 5V. At most it'll need 5V.
So I'm using this to drop the 12V to 7.0 - 7.4V for the servo.
Then I was using the L7805 regulator to drop that 7 - 7.4 V to 5V for the DC motor.
I would imagine that the 7.4 V delivered to the L7805 is stabilized pretty well.
Not much current demand; the DC motor draws about 150 mA.
I've been using a 100 uf electrolytic capacitor on the input side, and a 10 uf electrolytic on the output side. Seems to work fine. Do you see any reason to change them? I don't think the DC motor is particularly susceptible to noise, so I'm not sure how much I need to care about filtering. But I'd like to do it correctly.