Page 17 of the [u]LM317 datasheet[/u] shows a "high current regulator" using some additional transistors.
When you get up around 3 Amps I'd say it's time to start thinking about a switching regulator. A switching regulator is much-more efficient and can put-out high-power without dissipating lots of power/heat inside the regulator itself. (Efficiency is more important in a variable-voltage design where the voltage "dropped" across the regulator can be higher than a fixed-output design.)
Off-hand, I don't know of any variable-switching power supply chips, but I'm sure you can find something, or someone else can suggest something.