While the existing answer by Alex Lopez is very good, I want to point out there's one more and very popular design of bench supplies.
It consists of:
- a mains transformer with multiple taps
- a set of relays to choose the tap you use
- rectifier and bulk capacitor
- and a final regulation stage which is almost always linear.
So e.g. if you want 5V output, the selected tap will be around 10-11V (of course poorly regulated), and the final linear stage would drop off the excess voltage as heat. At 30V output the highest tap will be used (e.g. 34-36V) so even in the worst possible case the efficiency won't be too bad.
I've seen this design in a bunch of entry-level bench PSUs (the typical 30V/3A units or sometimes 30V/5A), but I was amazed to see it recently in a hefty 600W PSU (60V 10A).
This PSU was incredibly heavy! It was if the entire PSU was a solid block of metal! I can compare it with our lab's 315W unit, which is about four times lighter (but it is a switcher + linear postregulation design).
In conclusion, the weight considerations should not be overlooked, especially at higher power levels.