Well, it has probably been done quite a bit, but I think that it is so useful that I'm going to do one as well. This instructable will go through the basic steps of creating you own small power supply, much like those 'wall warts' in case you need one at a specific voltage, or need to replace one that you fried.
Step 1: Stepping Down the Wall Voltage
The first step of the creation of one of these types of power supplies is to step down the wall voltage to something in the neighbourhood of what you need. I happened to have bought a couple of surplus transformers that stepped 120Vac down to 12Vac, but you could really use any transformer that did enough voltage reduction from 120Vac.
These transformers that I bought did not really have any information provided about them, and I would guess that any scavenged parts would likewise be as much a mystery. The primary side was easily identifiable by the heavier gauge of wire. A scavenged plug was soldered onto the primary, and the connector was lopped off of the secondary, as I wouldn't use it anyways.
An important thing to thing about, if you get any say in the transformer that you are going to use, is how much current that you are going to draw from it. Size seems to be an indication of how much you can draw, but here, if it isn't listed somewhere, I usually go ahead with it and check to make sure it isn't heating up too badly at the end of it all.
Any Time You Are Plugging Anything Into the Wall, Be Extra Careful About Where You Put Your Hands, and What Conducts Electricity!!!