Note that these regulators are last century.
I was brought up on them and still think there is a place for them.Switch mode may be much more efficient but take up more room. In the right place (low in/out V difference and low current) they are the simplest thing to use.Weedpharma
Oki Murata has some small units too, 7805 sizehttp://www.digikey.com/product-search/en/power-supplies-board-mount/dc-dc-converters/4325599?k=oki%20murata
However, I see lots of example circuits all over the internet that use different capacitors.
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.