Switching regulators use energy more efficiently but it may or may not be worth the extra cost. Say you had a 20V supply and you wanted 5V at 1 amp. An ordinary 5V regulator would draw 1 amp at 20V or 20 watts. It would also throw away 15 watts in heat (not very 'green') which needs a bigger heatsink and the heatsink would probably cost more than the switching module.
If a switching module were 100% efficient it would draw only 0.25 amps from the 20V supply to produce 1 amp at 5V. In reality it is about 90% efficient so maybe 0.28 amps. It also hardly gets warm so doesn't need a heatsink. Compare 1 amp at 20V vs 0.28 amps at 20V and you can see how the switching regulator uses less power.
So for this application a switching regulator is a much better choice.
But say you were running a picaxe at 3mA. The power saved really isn't worth the extra expense as no heatsinks are needed. You would probably use a 78L05 which is only good for 100mA but is cheaper.
Or say you didn't have a 20V supply. Say you had an 8V supply. The extra expense of a switching reg probably isn't needed.
It depends on your input volts, whether you can change that or whether it is fixed, and your output current. What is your application?