So there are two ways of going about this. The totally home-brew way, or the lame way where you just go out an buy a 5v/3.3v power supply
. There are lots of different kinds of these available but the one from SparkFun is great because you support a great company and it's breadboard compatible (awesome!).
For those of you who want to build it yourself AND save yourself a few bucks then that's what you'll learn to do. Lets start with the parts list:
1x protoboard - doesn't really matter what size as long as you can make it fit. 2"x2" should be fine but the heat-sink will likely hang off the edge unless you're creative
1x LM317 (type-t) Variable voltage regulator
1x heat-sink capable of dissipating up to 3 watts.**
1x 1N4001 1A Diode
2x 3.5mm pitch 2-pin screw terminals*
2x Break Away Headers* - (Right Angle or Straight depending on your design)
1x 100uF electrolytic radial capacitor
1x 10uF electrolytic radial capacitor
1x 0.10uF ceramic disc capacitor
2x 330ohm 1/4W 5% Carbon Film Resistors (standard resistors)
1x 1k ohm adjustable Potentiometer/Trimmer.
1x LED 5mm (your choice of color [may need to adjust resistor value])
Some wire - 22 gauge.
note - you'll also want to have some thermal compound handy for the heat-sink.
*The headers and screw terminals are how I decided to attach my power source. My supply is set up to accept power from either the screw terminals (from a 9v battery lead) or directly from a 7.4v 1600mah battery pack. These can be adapted however you want and I would suggest adding a 2.0mm DC Power Male PC Mount (2-pin) if you want it to work with a 9-12v wall transformer. That way it has a nice clean interface and you cant mess up the polarity.
** The heat-sink is important and there are several different ways to go about using it. The heat-sink is for the LM317 voltage regulator, it needs to be sinked for our purposes and while a 1.5 watt heat-sink is what i'm using and does a fine job for what i use it for, if your dropping a lot of power and using a lot of current you'll want to consider using a larger one. Just remember that this specific voltage regulator only supports up to 3Watts total even WITH the heat-sink.
It seems like a lot, but the total cost for just about everything here is less than $5 when ordered online. You can still get most of the parts from local hobby shops (or radio shack) for less than $10 and i'm sure if you've been working with electronics for a bit now you'll have most of these parts on hand anyways.