A couple of cool power supplies I just found

Other Hardware Motors, Mechanics, Power and CNC
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I was doing some research on high efficiency 5V regulated power supplies, and found a couple of real winners:

This one, http://www.tracopower.com/fileadmin/medien/dokumente/pdf/product_selection/TSR1.pdf, the TSR 1-2450, (available from Adafruit: Mini DC/DC Step-Down (Buck) Converter - 5V @ 1A output [TSR12450] : ID 1065 : $14.95 : Adafruit Industries, Unique & fun DIY electronics and kits) fits on a breadboard or perf-board directly, takes in from from 6.5 to 36 volts, and outputs a regulated 5 volts at up to 1 amp. Best, it is a "buck" converter, so it does that with VERY high efficiency.

This second one, the UBEC DC/DC step-down converter is very similar, but has wires on it:

UBEC DC/DC Step-Down (Buck) Converter - 5V @ 3A output

It puts out up to 3 amps, which is a lot of juice. I also found a version on Amazon that has a choke on the output to reduce high frequency noise, plus a jumper to switch between 5V and 6V output.

http://www.amazon.com/NEEWER®-UBEC-MAX-Lowest-Noise/dp/B00D2P94M0/ref=lh_ni_t?ie=UTF8&psc=1&smid=ATJ1HHEILSBYQ

All of these are switching power supplies, so they are ultra-efficient. The one from Amazon may be the best because the choke on the output will cut down on high frequency noise.

Both of the UBEC converters are based on the MP2307 chip, which sounds like a great little chip. With a handful of components you can build a 3A regulated power supply with an output ranging from 0.925V to 20V at 3 amps. It's not a buck/boost converter, so it needs an input voltage a couple of volts above the output voltage, but aside from that is very versatile.

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Note that the TSR 1-2450 part is a lot cheaper at Farnell/Element14 in the UK.
Its 84% to 94% efficient.

They also have the 0.5A drop-in-replacement buck converters like the
TR05S05 which are half the price, 80% to 92% efficient.

Nice feature is indefinite short-circuit tolerance, automatic recovery.

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MarkT:
Note that the TSR 1-2450 part is a lot cheaper at Farnell/Element14 in the UK.
Its 84% to 94% efficient.

They also have the 0.5A drop-in-replacement buck converters like the
TR05S05 which are half the price, 80% to 92% efficient.

Nice feature is indefinite short-circuit tolerance, automatic recovery.

Yup, I found the TSR1-2450 on Element14 as well. Adafruit is usually more expensive than commercial electronics suppliers since they cater to hobbyists that want plug-and-play solutions.

When you want to buy a gizmo for your Arduino it pays to shop around a little before buying it.

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Lots of inexpensive UBECs on ebay.