Besides the 7805, I use two 100nF ceramic capacitors and a 1500uF electrolytic (which provides the initial smoothing of the rectified output). The bridge rectifier was one I bought from Radio Shack some number of years ago and either the 12V or 6.3V output of the power transformer will work.
This circuit should do well with up to an ampere of current, and using it with audio circuits yielded no discernable hum. Having put a morning into its construction I was quite pleased.