What current do you need. I am assuming that you want a linear design, Switch Mode Power Supplies (SMPS) are commonly used these days where high current is demanded. The trade off can be more noise and poorer transient response. They are difficult to design for someone starting out, however.
How do you wish to achieve coarse stepping, a multi pole switch is out of the question. On most power supplies you don't need such fine control, a DMM will get you close enough. Also you could use a single multi-turn pot. If you go to a digitally controlled unit it can be done easily, but that adds to the complexity.
Do you really need to design it, there are so many designs on the web, as well as kits.
If you need to design it as a learning exercise, be aware that you may have to deal with mains voltages, so safety first. If it is going to be a laboratory power supply, then you need to have all sorts of protection built in against misuse, and you need to verify that it is stable over the full range of voltage and current output, or you might end up blowing it or the load up.
You have not specified a current, this determines what power needs to be dissipated in the pass control elements, and is worst at the lowest voltage setting with maximum current (so big heat sinks and a fan might be necessary) You need a large and heavy mains transformer as well, which is another reason why SMPS designs are popular. You will invariably end up using a monolithic solution for the best results, so you need to look at the application notes from places like Texas Instruments, ST Semi, and Analog Devices. There is also a lot of information on the web, although you have to choose carefully, there are as many poor designs as good one out there.
Most monolithic solutions will not allow the output voltage to got to 0V, often quite a bit more circuitry is needed to allow it. See the LT3080 as an interesting option.
So I guess you need to supply a little more information.
Cheers,
Richard
