If it's a high powered LED, I would recommend, making the supply voltage as near to the LED voltage as possible if you can, but not too near obviously as a minute change in voltage will lead to a huge change in LED current. What I mean is if it's possible use a 5V supply to power a single 3.5V LED instead of a 12V PSU. This wastes less energy in heat disipated by the resistor or regulator. Don't forget that the LM317 requires 3.25V to 4.25V of headroom (depending on the current) when used as a current regulator so it isn't always a good solution.