I say, do some maths
Practice is different fm theory, but theory will get you solid figures to work on. There are many resources for calcuating power dissipation of heatsinks, and with linear power supples you can work out how much power the pass element (transistor) in said supply is kicking out. If you want 12V, and you draw say 2.1A from it.... if the linear regulator is powered by 15V then the pass element is P = IV = 2.1A * (15-12) = 6.3W. But power it with 30V, and set the output to 5V @ 2A, and P = 2*25 = 50W (!!).
Switching power supplies can be very efficient, but not always more efficient than a linear supply
And as you rightly pointed out, they produce noise - both radiated, and conducted (noise on the output line). A comprimise is often when both are used - a switching supply to convert a voltage from say, 30V to 15V, followed by a linear regulator from 15V to 12V. The switching supply's efficiency keeps heat production low, and the linear regulator afterwards cleans up the output voltage, as well as possibly making regulation better. So you sacrifice some efficiency for a cleaner output. Radiated noise can be reuced with good layout, sheilded inductors, and shielded enclosures.
What is the voltage output of your transformer? This will determine maximum current output, maximum voltage output, as well as the voltage difference between your transformers secondary, and your regulators output.
Edit, sorry crutschow, I see you've pretty much covered everything, apologies if I've just repeated what you've already stated.