Three terminal voltage regulators like the lm317 are common and easy to use, for most applications only two additional resistors are needed to get a stable power supply. This app note by Linear Technology provides guidelines how to increase the performance of these devices.
Current output could be increased from a few amps to tens of amps, by adding an external transistor. The article covers how to build this circuit without sacrificing output regulation, and adding thermal shut-down to the output transistor in case of a prolonged short circuit.
Power dissipation could be decreased by adding a switching dc/dc converter before the three terminal regulator. By using an op amp to drive the switching regulator, it keeps the input voltage level at a constant difference above the adjustable output level.
The article also provides a example circuit how to use a three terminal voltage regulator to regulate very high voltages of a few thousand volts.
