Here’s how to build a simple LM317 based power supply. Ladyada.net writes:
“Being able to poke voltages into your projects will help you debug. You can buy an adjustable power supply for $50 or so, or build your own from a kit. You can also build it for $10 using a 9V battery as input and test clips for outputs. This won’t be able to provide a lot of power (cause its just a 9V) but it can go pretty far for testing and debugging.”