I have recently bought a voltage regulator (link, specs, and datasheet below) and I am regulating a AC-to-DC 9v power supply into 5v with as little components as possible. In the datasheet, all of the diagrams use capacitors, and I don't have any on hand, nor do I have the desire to use them if I can. I have seen people create phone chargers with Altoids cans with only a voltage regulator, two wire, 9v battery, and 2 resistors (from 5v to to both of the data lines), so I don't know if it is just providing additional circuits for different uses.
LM7805 L7805 7805 Voltage Regulator IC 5V 1.5A Manufacturer: STMicroelectronics - SGS THOMSON Manufacturer Part No: L7805CV Package / Case: TO-220 RoHS: Yes Specifications Product Category: Linear Voltage Regulators - Standard Polarity: Positive Number of Outputs: Single Output Type: Fixed Output Voltage: 5 V Output Current: 1.5 A Line Regulation: 50 mV Load Regulation: 100 mV Dropout Voltage (Max): 2.5 V @ 1A Maximum Operating Temperature: 150 C Minimum Operating Temperature: 0 C Mounting Style: Through Hole
From eBay descripiton.
P.S. This is not a duplicate of Proper use of a voltage regulator because that one is not about the schematics, it is talking about if it is needed in the first place.