Old but actual question. After evaluating tens of approaches for AC/DC power converters I concluded following (for myself).

Requirements:

 1. Small size as possible.
 2. Less components as possible (footprint, size, price).
 3. Less heat dissipation (efficiency in other words).
 4. Low current, very low voltage, low output power.

Gave up requirement:

 - Isolation: in my application it's well isolated by box, no human protection needed.

(So far, I am going with LDO regulator LR8 based PSU. Best solution for current up to 30mA. Can be connected in parallel to get 100mA for extra price and footprint.)
UPDATE: The LR8-based PSU is not relevant, its practical current is 3mA only.
I implemented pretty small, simple and stable PSU with LNK305 IC.
![1W PSU on LNK305][1]
When R1=2k the output voltage is about 3.3V.
C2 better to use few hundreds uF.
All input circuit (D3, D4, L2, C4) I replaced with diode bridge.
C5=2.2uF is enough - for small size and cost.

These circuits are so far good enough (taken from the Internet): less components + isolation bonus.
![enter image description here][2]

This is second best non-isolated very simple circuit by ST.

![enter image description here][3]

In both circuits above the coil or transformer are pretty big and expensive.

Discarded variants:

 - All above in this thread due to complexity, transformers, isolation, total PSU price, etc.
 - Viper17 and Altair04 due to complexity and transformer.
 - HV-2405E based due to end of life.


  [1]: https://i.sstatic.net/ckAeX.jpg
  [2]: https://i.sstatic.net/4CoLq.png
  [3]: https://i.sstatic.net/dFwLO.jpg