I use the LM2940 regulator on pretty much everything, but then all my stuff is 5V, 16MHz, so it makes sense for me to do that. If you had a 3.3V 8MHz setup then a single lipo/no reg solution would probably be ok just like Crossroads said.
I like using them because it also gives me inbuilt reverse battery cockup and short-circuit protection, and given I have been known, on occasion, to do some monumentally stupid things it's nice to have a bit of a safety-net 