Is there a difference between a 7805 regulator and a LM7805?

The short answer is, "no".  These are essentially the same part. The  5 volt version of the 78-series linear voltage regulators in a T0-220 package.  Predictably, the one sold by RadioShack(r)  is priced higher.

If you are wondering what the "LM" stands for, I think it is a prefix belonging to a particular manufacturer.  The confusing thing is that I think I have seen more than one manufacturer making the same chip starting with "LM".  The links below might, or might not, offer some clues to the mysterious "manufacturer's prefix".