Dear Vimal,
For your specification.

1. A bridge made up of 1N4007 would be ok. I hate readymade bridges available at local market.
2. For filtering to DC you can use 470uF capcitor. I use KELTRON caps This gives your unregulated DC.
3. Although theres nothing wrong with using 7805 for voltage regulation but I prefer LM323 though expensive.
4. At the +5V output from the LM323/7805 use a 10uF electrolytic and in parallel with this use a 4.7uF tantallum and a 100nF mylar capacitor. This completes your power supplt part.

On to the micro board.
1. I would suggest you to use 6 core ferrites before power enters your micro Vcc.
2. Use 100nF mylar capacitors as close as possible to Vcc of all IC's.
3. For micro I use 100nF mylar + 10uF tantallum both.
4. Apart from this add a 2.2 ohms resistor in series to micro supply to damp ringing.


Regards,
Prahlad Purohit