I like using Microchip's MCP1700-33 LDO regulators when working with the Arduino. I use the TO-92 part so it's small with a max of 250mA. It works well for powering most of the 3.3v sensors and parts I've used like XBees and other radio modules. It has a max input of 6.5V though, so I only connect it to 5V on the Arduino (not "Vin").
When I need more current, I use the LD1117v33. It's a LDO TO-220 regulator.