As others have said, don't make your own power supply - nice isolated power supplies are dirt cheap and available at any corner store in the form of USB chargers, and they give you 5v, which is just what you want.
Zener regulators are just fine for some purposes - at lowish current, when it's not running on battery or anything, it's a perfectly good way to get a cheapo regulator - I do it when i've got something that needs an mA or two at 5v and all I've got handy is 12, stuff like that.
It's not ideal though, I wouldn't use it for an RFID reader, for example :-P. 3.3v LDO regulators, and the caps they need to be happy, are pretty damned cheap (under a buck even in small lots) - and DC-DC converters can be had on ebay for only slightly more (they start at around a buck)...