Hi john,
i've tried to supply the Arduino with 5V provided by a LM2940 directly to the 5V pin. It works, but the LM2940 gots extremely hot (SOT223 package).
So i decided to use a 78S10 in a TO220 package connected to the Vin pin.
I also found this text in the description of the Arduino Ethernet Board:
5V. This pin outputs a regulated 5V from the regulator on the board. The board can be supplied with power either from the DC power jack (7 - 12V), the USB connector (5V), or the VIN pin of the board (7-12V). Supplying voltage via the 5V or 3.3V pins bypasses the regulator, and can damage your board. We don't advise it.
I think i use the Vin method in the future.