I think there is no general answer possible, because it depends on the application:
- linear, e.g. 7805 I would use only if the design should be really cheap and power-dissipation is no problem at higher currents.
- linear low-dropout I would use only if I needed it (e.g. regulation from 12V down to 5V needs no low-dropout reg.).
- switching regulator I would use if cost is no problem but powerdissipation is a great problem. But you have to consider that EMR could be a serious problem in this designs.
So, maybe you could tell us, what you want to do in your design, so we can help you...
best regards
carllucas