There's also a huge array of modules with all elements included, from little potted bricks to open boards, e.g.
http://www.mouser.com/ProductDetail/Murata-Power-Solutions/CRE1S0505S3C/?qs=sGAEpiMZZMsc0tfZmXiUnehdnqY2%252beSYIniGrHHDhfkvSGqygV25ng%3d%3d
or
http://www.mouser.com/ProductDetail/Texas-Instruments/DCH010515DN7/?qs=sGAEpiMZZMsc0tfZmXiUnZtq28tdDzsSiBlckuM2tAg%3d
All sort of options in various form from complete roll-your-own with discretes, to a controller IC + full external parts (switching transistor + caps/inductors, etc), to controller IC + external inductor only, to full circuit module.
Many of the full modules are no different to implement than a linear regulator, though you should still be aware of things like their switching frequency (and pick something out of the audio band), intended load current, etc.
If you can try to define the particulars of the circuit as best as you can:-
- Vin (AA battery)
- Vout
- Nominal Load
- Worst case load
- Etc
Then that will lead to the short list of options and you can choose the right compromise between simplicity (full module) and optimization (probably a controller with an external inductor is about as deep as you'd want to go for such a thing. External switching transistors would be of more use in higher power where you want to optimize that stuff for your particular case).
In the end it will probably be driven largely by form factor and price for your application.