I'm defenitely no expert on this, but as a starting hobbyist I'm with Brian.
For the reason that building a low power linear power supply with 78xx / 79xx is fairly simple compared to working with switchmode powersupplys wich for me add another layer of complexity I'd like to avoid.
I even wonder if a switchmode powersupply is more effective with energy consumption if only a few mA is needed ?
The PSU I build for my Rhodes preamp is very quiet (noise level sat below the treshold of my soundcard) and does not get warm at all, I think it's very effective. (I'm working on a circuit board design, but it's my first so that will take a while I guess)
Don't worry too much about mains power, you should always be carefull, but as long as you don't plug it in the socket it will be save to work on, it's a low voltage device, no big caps, no high voltages, no tubes.
You will be only connecting a switch, a fuse, and a transformer, all the other stuff is at the other end of the transformer.
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Flame storm mode;
I replaced the switchmode PSU that came with my Korg minilogue analog synthesizer for a DIY linear one (I allready build that and I was curious what would happen ? if anything would happen at all ?)
Well, that difference was huge !
Just opening the noise generator or a VCO I could allready hear it, the nasty hash was gone.
There's files on GS, the same preset running on linear and on switchmode PSU, it's pretty obvious wich is wich.
So...