I like the TelCom TC55 part.  It is 2% accurate, but can source 250 mA
(but watch your power dissipation) and the supply current is 100 times
less than LP2950!  It's also cheaper and available in SOT23, SOT89, and
TO92.

TelCom also has several options for 50-800 mA at 0.5% (typ) accuracy.
Check them out at www.telcom-semi.com.

I'm glad someone pointed out the LP2950/2951 though, since it has some
distinct advantages.

Don