I tell people: "Buy a nice, heavy power transformer. It will sound better."
They are skeptical, because the circuit only draws a couple of watts, and less than 100 mA current.
The image below shows how the power transformer, and rectifier diodes, actually work much harder than you would estimate from looking at the output power.
It shows a zener regulated supply with a load drawing 100 mA at 20 V. That's 2 W.
As a result of the capacitor input filter directly after the diodes, however, the diodes and transformer do not conduct current all the time, but instead for just a couple of milliseconds twice every cycle of the AC wave. They have to supply all the output current in just that short space of time.
As you can see in the simulation, the diodes are pushing peak currents well in excess of 1A or 10x the output current. This is a typical "normal" power supply with a initial ripple ratio of a modest 1/40, things...