These days you also should not overlook using a single chip 5V switcher. They used to be a pain in the a (startup probs, noisy), but they have become very good. A typical circuit these days uses an 8 pin chip, a coil and a few caps.

The adavantage is that you don't have to worry too much about the regulator dissipating more heat as input voltage goes up. The result is a design that can cope with input voltages from very close to 5V right up to 40V or more, without needing any heatsink.

I think Newport even do some single chip ones, no external components.

If you use a 7805 or similar, you must use a heatsink unless you can definitely say that input voltage will never go too high.

Also if you have any negative voltages in your design, you should include diodes at input and output of the reg to clamp to 0V. This is because the 78xx regs can latch up if negative volts appear in the circuit moments before positive ones.