We're all spoiled by the ready availability and ease of use of the 78XX type voltage regulators, my self included. I generally stock a wide variety of 78LXX regulators, and 78MXX., as well as the LM317 types.
When I was working on the power supply for my general coverage receiver still in development, I decided to kill an afternoon making voltage regulators the old fashioned way - with a zener diode and a pass transistor.
The very simple circuit, likely in countless textbooks, is attached along with some of my practical observations. I do not advocate using this type of circuit in place of a 78LXX circuit, but with a sample book or assortment pack of zener diodes, one can cover pretty much every regulated voltage one might ever need. This can be important for someone like me, who travels between two houses, as it enables me to make maximum use of the limited number of parts I can carry with me to my second house, where I do most of my building these days.
I used this circuit for several weeks to power a Si5351 VFO and illuminated 1602 LCD, and it works reliably as long as heat from the pass transistor is adequately dissipated. In that regard, the transistors can survive running a lot hotter than you would ordinarily think. I expect a bigger transistor would pass more current, but all I had that afternoon were puny TO-92 and SOT-23 devices. You can get several hundred milliamps out of a TO-92, so they can bridge the gap between a 78LXX and the physically larger 78XX types if space is an issue.