The proper way to get 3.3v depends on the source voltage, and the required current.
An LDO is just fine and appropriate for a lot of applications.
If the source voltage is 4.5-9v, you can just use a LD33V or another TO-220 regulator (or TO-223 for surface mount) for currents of 500-800mA, though the regulator will get hot, it'd be within spec. 12v will work too, as long as the current is low. I think you can do that with a LD33V powering an ESP8266 off 12v, but watch the heat on the regulator, and if you're not happy with it, you could stick one of those cheap heatsinks on with thermal epoxy (mini-heatsinks and thermal epoxy is something I recommend owning - I use mine all the time).
Always read the datasheets on regulators before you buy - and make sure you're reading the electrical properties section, not the "absolute maximum ratings" section.
If the source voltage is >3.6, you can probable find a very low dropout regulator that will do the trick, though likely with lower limits on current and/or power dissipation, and/or a higher price.
Efficiency is roughly Vout/Vin with an LDO ("roughly" because there's quintescent current and such). My father (long time electrical engineer, now retired) calls regulators "watt wasters"
If you're working with a lower voltage supply than the voltage you need, or you need to drop more than 9v or so, or wasting a bit of power is a problem (ie, you're on batteries), you want a switching DC-DC converter.
Buck/Step-Down, boost/Step-Up converters, and step-up/step-down converters, are all available on ebay for mind-bogglingly low prices. Check descriptions - it is often not clear from the listing title whether it's step-up, step-down, or both. Many of the cheap ones have no short circuit protection, and just die if you short them - so i'd recommend buying a few (they're cheap anyway).
For those who are independently wealthy, DC-DC converters are available in sealed packages, so they can be treated like any other component (some are meant to match the pinout of a TO-220 regulator) - however these cost around an order of magnitude more than the cheap, bulky, chinese ones.
Efficiency is in the order of 80-98% with DC/DC converters.