Rectifiers change AC into DC. Most electronic devices need DC, but the requirements of electricity transmission demand that the power that comes into our homes and offices is AC. An essential component of radios, televisions, computers and other devices require a circuit that changes AC to DC. The only electronic devices that don't need rectifiers are battery operated devices like cell phones--if it doesn't have a battery, it has a rectifier. Transistors that are used in rectifiers must be able to handle 120 volts (some even handle 240 volts) and must remain constant over varying currents. Some of the best transistors in this category are the general purpose Resistor-Equipped Transistors (RET's) that already have the bias resistors built in (like the SOT223 and the SC-88) and (for small devices) the Schottky Rectifiers like the Philips SOT457 and SOT666.
A power supply is the circuit that supplies reliable, consistent power to the rest of the device. For some simple devices, there is no difference between a rectifier and a power supply. Power supply, however, is a more general term and even applies to those circuits that regulate and control the DC power that is coming from a battery. The power supply must supply whatever the rest of the device needs. Sometimes this means eliminating noise and keeping the voltage and current steady and free of ripples. Transistors that function in this capacity must have high current gain and low voltage drop. Some of the transistors that are frequently seen in power supplies are the MAX1776, the TO-92 and the LT1123. Most, but not all, of the transistors used in power supplies are PNP transistors.
Voltage regulators keep the voltage steady no matter what is happening with the voltage supply. They are often found in battery powered devices to compensate for batteries that steadily decline in voltage during their lifetime. They are also found in devices with rectifiers that need stabilization due to spikes and surges. The important characteristic of transistors used in voltage regulation is that they can be operate in a part of their saturation range that maintains a steady output no matter what the input is. Typical transistors used for this application are the MAX868 and the SC-62.