Looking at the datasheet I can see that the voltage regulators are not just a zenner diode inside, they are complex devices. I have noticed that there is always a capacitor at the input and another one at the output. An example is the uA7800 series fixed voltage regulators.
I have read that one of them is to "stabilize the circuit operation" while the other is to "reduce ripple on the output". Looking at the datasheet, why do they have this fixed value? And if they do have a fixed value then why not just fabricate them into the voltage regulator itself? e.g for the uA7800 series it is 0.33uF at the input and 0.1uF at the output. It is not explained why they have these values.