Sorry, I should have been more clear. I need to power an Arduino, so it would have to output about 200mA. Also, I would like to have something cheaper.
If you want to do some more design work (and get a more stable / power efficient solution than the cap dropper), or look how simple phone chargers work, take a look at the site of Power Integrations. They provide the switching IC's that do the conversion in -for example- phone chargers. This reference design might do what you want!
If you are a beginner and would like to build your own power supply, you should consider making an isolated power supply, from both a safety and not blowing up your Arduino accidently point of view.
You would need to use a power supply that has a mains transformer in it. This would be pretty simple to make, but on th eother hand as has been mentioned you could buy a mains rated plug pack that has all the safety features built in.
For a home made one, you need a fuse, 120 -> 9v transformer, a diode bridge or just two diodes (depends on the transformer you buy), a capacitor and a voltage regulator 7805 or similar. That will make a basic power supply. The transformer needs to be rated at, at least 1.8VA .
Circuits with actual parts and part numbers can be made if you wish. There are many websites with basic linear power supply circuits.
Any ideas? 
