I plan to power the project using a 9v battery. It will power a small LED matrix (5x5) and will be driving the LEDs at around 5ma, as I am row scanning so only max of 5 LEDs will be lit at a time. As its a small matrix at lowish power I am going to drive the matrix directly from two 595 shift registers. I am using a ATtiny25v microcontroller to provide the brains.
I am planning to use a http://uk.farnell.com/jsp/search/productdetail.jsp?SKU=1087086 as a voltage regulator (thanks to the advise on this forum) that maybe a bit overkill as it can provide way more power than I need but I have one going spare in my parts box as well as the necessarily capacitors.