Also factor into the topic that most linear voltage regulators have automatic internal protection and will shutoff if either the heat gets too high or the output current is in excess of the cut-off protection circuit. So while heat is never a desired property unless that is the purpose of the application, I think many overstate the possible damage that a Arduino board can or will suffer from it's voltage regulator. I ran my first arduino (RS232 serial clone version) board from a regulated +15vdc laptop power brick and while the on-board 7805 regulator did run pretty hot, it never failed or caused a problem that I could see.
I too have changed my thinking on voltage regulators after seeing the wide selection and low prices of buck and boost type switching regulator modules on E-bay from Asian sellers. Up to 2-3 amps output they have just too many advantages over older linear 1-3 amp regulators, at least in my opinion. And don't forget the $1 5.1vdc @1 amp 'cell phone charger modules' I find at thrift stores all the time. They are perfect for lots of smaller standalone arduino projects.
Lefty