Switch mode power supplies (SMPS) can be difficult to make by hand, without a custom PCB. You have several issues. Even on a 2 layer custom PCB this can be difficult but is many times harder when you are hacking things together on a perf board or worse. The reason for this is that the stability of a SMPS is highly dependent on the inductance and "routing" of the signals. If a signal is not routed nicely then it can pick up too much noise and the SMPS becomes unstable. This alone is a topic worthy of several books.
Things can be much more difficult when using tools like National Semiconductors WEBENCH. While WEBENCH is useful for getting you "approximately in the right neighborhood", it falls far short of getting you a robust and reliable design. WEBENCH, and tools like it, often don't check for some basic things that become very important when designing SMPS. There is the easy stuff, like are you violating the power specs on resistors or voltage specs on diodes? Or the intermediate stuff like are you violating the duty cycle limits for the SMPS chip? Or the hard stuff like, is the tool properly simulating the MOSFET/Diode/Cap you're using or does it allow you to add/change the snubber circuit? I have seen WEBENCH and tools like it fail to properly take these things into account-- resulting in a circuit that just barely works or even fails catastrophically. WEBENCH will give you a place to start, but it is no replacement for reading and understanding the datasheet and doing the proper homework on the design. You can't just take a WEBENCH design and run with it as if it were a fully tested and robust design.
My advice: If you're building your own custom PCB then make your own SMPS. Add into your schedule a good amount of time to tinker and tweak the SMPS circuit. If you are going with a one-off build then use something like the UBEC.
Advice #2: Linear Tech's LTSpice simulator is an order of magnitude more useful than WEBENCH. It is also good for non-SMPS analog circuits. You will still need to do your homework, but LTSpice will get you much farther along. The downside is that Linear Tech's chips are a little more expensive than National Semi's and others. But, in my opinion, unless you're building thousands of these things then the better software tools is worth the extra cost.
You have the right idea for a basic unregulated supply. A transformer, four diodes, and as large a cap as you can manage will serve well enough for a lot of purposes, but isn't appropriate for all.
There are two main problems with such a unregulated supply. First, the voltage is not known well. Even with ideal components, so that the AC coming out of the transformer is a fixed fraction of the AC going in, you still have variations in that AC input. Wall power can vary by around 10%, and that's without considering unusual situations like brownouts. Then you have the impedance of the transformer. As you draw current, the output voltage of the transformer will drop.
Second, there will be ripple, possibly quite significant ripple. That cap is charged twice per line cycle, or every 8.3 ms. In between the line peaks, the cap is supplying the output current. This decreases the voltage on the cap. The only way to decrease this ripple in this type of design is to use a bigger cap or draw less current.
And don't even think about power factor. The power factor a full wave bridge presents to the AC line is "not nice". The transformer will smooth that out a little, but you will still have a crappy power factor regardless of what the load does. Fortunately, power factor is of little concern for something like a bench supply. Your refrigerator probably treats the power line worse than your bench supply ever will. Don't worry about it.
Some things you can't do with this supply is run a anything that has a tight voltage tolerance. For example, many digital devices will want 5.0 V or 3.3 V ± 10%. You're supply won't be able to do that. What you should probably do is aim for 7.5 V lowest possible output under load, with the lowest valid line voltage in, and at the bottom of the ripples. If you can guarantee that, you can use a 7805 regulator to make a nice and clean 5 V suitable for digital circuits.
Note that after you account for all the reasons the supply voltage might drop, that the nominal output voltage may well be several volts higher. If so, keep the dissipation of the regulator in mind. For example, if the nominal supply output is 9 V, then the regulator will drop 4 V. That 4 V times the current is the power that will heat the regulator. For example, if this is powering a digital circuit that draws 200 mA, then the dissipation in the regulator will be 4V x 200mA = 800mW. That's will get a 7805 in free air quite hot, but it will probably still be OK. Fortunately, 7805 regulators contain a thermal shutdown circuit, so they will just shut off the output for a while instead of allowing themselves to get cooked.
Best Answer
Your main problem will be the overwhelming noise. Those things are loud. Loud noise means you're not going to want to use it, and that's a crappy bench supply.
Other than that, it's certainly a decent project, although I would start slow and forget about an adjustable 1-30V and a negative voltage. Increasing the voltage or making it negative is a whole different project involving step-up and inverting switch regulators, none of which you want to handle right now as a beginner.
Whatever you do, make sure you can use another power source, so you can hook it up to something less loud, maybe a second hand laptop supply.