Electronic – Arduino controlled bench power supply

For a linear supply i would recommend using a foldback current limiting scheme, especially on something that has a tendency to be shorted/over driven as often as a bench supply. Theres lots of ways to do this and how you do it will be based on the linear regulator design. That being said googling for 'foldback current limiting' especially on google books should give you all the information you need.

For current measurement, you can go high side or low side, whatever you want. The reason to avoid low side is generally to avoid increasing resistance to ground. The small sense resistor you use probably wouldn't matter much in a bench supply. The easiest way to implement this is to use a custom made IC. Such as the MAX4173 there are lots of manufacturers for these though, look around for the one that best fits your needs/cost/package. There are also some that output PWM which can be more accurate to work with than the ADC on most cheap microcontrollers. You just measure the pulse width using a timer and usually either a pin with external interrupt or a comparator input.

A typical use of the power supply schematic in the O.P. is for powering one (1) analog circuit, which needs both positive and negative power supply rails. In principle, you can power two (2) completely independent circuits from it (+9 to 0 and 0 to -9). This would be a peculiar scheme, though, because the ground of one circuit is at 9V (plus or minus) w.r.t. ground of the other one. Still, if the circuits are in fact independent, such scheme would work. In practice, this scheme is not used in general purpose desktop power supplies.

A classic desktop power supply (like the one in the YouTube video linked in the O.P.) is of a "dual positive type". Each channel has its own independent secondary winding (or even a separate transformer) and its own rectifier. The channels can float with respect to each-other, and that allows to connect them in series.