Agree with aardvarkash10 on the BIG old oscilloscope transformer. I have one from a 545 Tektronix, and it has a lot of relatively low voltage (2x 115V, 138V, some more) secondaries and about 5 or 6 6,3V windings with lots of A. I connected the HV secondaries (noticing phase) to a Euro barrier strip, allowing for series connection.
To use these I made 4 individual power supplies. Each power supply consists of a bridge rectifier and two stacked elco's (with bleeding R), allowing it to operate both as 'bridge' as 'voltage doubler'. Each elco is 250V, so I aim for a max of 450V DC. I use a LR8N3 together with a big 300k wirewound 10 turn pot to set output voltage up to ~420V. This output voltage feeds the gate of a 600V NFET, that operates as pass device. I blew-up two of these FETS due to the lack of a short circuit protection, but it shouldn't be hard to implement one.
For operation I feed the (series connected) HV secondary which is most suitable for the desided output voltage to the PS board, to reduce heat dissipation on the heatsink.
As artosalo said: working with NFETS can indeed make for quite a compact build.