1: Yes, you can do that. Essentially, that's how power supplies work. They can handle multiple parallel networks within their current capacity. As for the heatsink, that depends on the regulator, the current draw, the ambient temperature, how efficient it is, etc. It's not a simple yes or no.
2: The capacitors depend on the regulator as well. Some require them all the time, some only require them depending on the input or output conditions, some never require them. The NTE1960 you linked to does not have an extensive datasheet, but is pretty similar to the LM7805. The capacitors are pretty much required for stable use. But these are linear regulators. Not efficient and they convert wasted energy into heat. Going from 12v to 5v, at say 700mA which is the high end for the RPI, that means 12 - 5 = 7v * 700mA = 4.9 Watts of energy being converted into heat. A heatsink would be required.
A Switching regulator is more efficient, in terms of both energy and heat. The OKI-78SR component you chose is a Switching Regulator. It shows that it would not need a heatsink in that same situation (Not in the engine compartment though, that's a different story). It is also a complete module, including the capacitors and the resistors it needs. It would be better.
3: A Car USB regulator would work just fine for your case, as long as the draw on it is under it's maximum. Some are 500mA, some are 1A, or better or in between, but some can't actually supply the amount of current it says it should, so you would need to test. The Model B has a 700mA draw/limit, the Model A is 500mA. Most of these usb regulators are switching supplies, and for your purposes, a car usb adaptor would be exactly like the OKI-78SR. At 4 bucks for the OKI-78SR (plus shipping) compared to a few bucks for a car USB adaptor, it really just depends on which you can get easier. Even retail, you can get a decent car one at any convenience or auto store for 10 bucks.
You could even gut the car USB adaptor for the board inside. Those things are so small now they are smaller than a car cigarette lighter, with the case, and the size of an SD card without the case.
Many supplies nowadays use both a switching regulator and a linear regulator together. The two are set up to track each other, so the voltage dropped by the linear regulator is never excessive.
So for example, say you set the supply to 5V, you might have a 24V input which the switching regulator drops down to 6-7V, then the linear regulator drops that down to the desired 5V. This way you get the benefit of the switchers efficiency with the quiet output of the linear regulator.
However, as mentioned by Passerby, efficiency and weight is not always so much of a concern compared to reliability and quietness, so many simply use a purely linear supply and deal with the losses involved.
To keep from being ridiculously inefficient however, generally many linear supplies will have more than one tap on the transformer which are switched between at appropriate points in the range (e.g. instead of dropping from 24V to 1V, it would switch to, say, a 5V tap so a lot less power is dissipated) You can usually hear the clicks of the relays at certain points in the voltage range.
Best Answer
Wikipedia is a good source of info here.
Basically a flyback converter is an isolated switching topology derived from the boost topology. With the boost, charging and discharging of the inductor happens on the same winding. With the flyback, the energy is put into the primary of the transformer while the switch is on and transferred to the output capacitor from the secondary of the transformer when the switch is off. During the charging phase, the switch is on and energy is stored in the magnetic field of the transformer. Then the switch is opened and the magnetic field collapses, transferring energy into the circuit connected to the secondary of the flyback transformer.
As I mentioned, the primary use of flyback technology is for isolation of the primary and secondary halves of the power supply. You can also obtain secondary voltages by having multiple secondary windings. Regulation is usually achieved with either an optocoupler or a small feedback winding which provides the necessary information back to the regulator so that it can maintain a constant voltage (the most common case) or a constant current in the secondary.
While always using the concept of a step-up (boost) converter, flyback converters can be, by using different winding numbers on the primary and secondary sides, built into regulators with a higher output voltage compared to the input voltage (step-up voltage conversion, but not a step-up converter topology), or a lower output voltage compared to the input voltage (step-down voltage conversion, but not a step-down converter topology), or both, and can supply multiple isolated output voltages, limited only by the input supply, switch and transformer. Since flyback regulators require a transformer, they are often more expensive than simpler non-isolated designs.