Good power supplies have a voltage regulator which makes an excellent filter as long as the ripple remains below the regulator's drop-out voltage.
I once built a power supply with a regulator and a capacitance multiplier. (It doesn't REALLY increase capacitance but it filters AC ripple similar to a bigger capacitor.
Switching power supplies operate at much higher frequencies which makes filtering easier. You can use a smaller capacitor and as a bonus the higher frequency means you can us a smaller, lighter, cheaper transformer. It's virtually impossible to build a switching power supply without regulation. And the switch-mode regulation is more energy efficient than linear (analog) regulation.
And if you're into audio, like me, power-line hum is obviously in the audio range, whereas switching power supplies normally operate above the audio spectrum so if any power supply noise leaks-into the audio circuitry, it's inaudible.
And of course, power supplies normally have a transformer to electrically-isolate the lethal voltages!!!
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...There's no need for me to pile-on, but there are two aspects of risk - If you know what you're doing, the odds of killing yourself may be low, but the consequences could be disastrous!
Or, imagine I offered you a bet on a coin-flip and I give you 10:1 odds, with me putting-up $100 to your $10. You'd be a fool NOT to take the chance. But if you had to put-up $1 million against my $10 million you'd be a fool to accept those very-good odds (assuming you're not a billionaire). I'd be a bigger fool, but that's not todays lesson on risk.