I'd also go the discrete route.
When I was starting to look into building a new PSU for myself some time ago I found that the usual
linear regulators had too many limitations that I didn't want in my main bench supply.
The common ones like LM317 or L200 take too little amps, have a too low max. input voltage, don't go
down to 0V, etc. To overcome all those problems would take nearly the same effort as building something
from scratch.
I found a very nice design in a 30 years old ELEKTOR magazine, it's a 723 as reference voltage source, two
741's - one for voltage, one for current limiting - and a couple of 2N3055's in the power stage. All basic
parts most hobbyist have lying around anyway.
It is very customizable, power and voltage are only limited by the output devices.
The only downside I can see is the enormous heat the power trannies have to sink at high load. At times I
could keep a mug of tea warm on the thing. That's because it nearly impossible to find a transformer
with more than one tap. But with enormous heatsinks that's not a real problem, I think.
I'd definitely go for more power than you may think you need now. You never know what you'll get into
in the future. My last PSU was a 30V/2A affair, I thought that was plenty. But it turned out there were
occasions when more power would've been welcome
. And, of course one supply is never enough. For
versatilities sake you need at least two. So this time around I went for dual 30V/5A. (That mainly had something to do with the transformer I got for free, though.)
Oh, and sense inputs are not a bad thing.
Over all the home built PSU will never be cheaper than buying one off the shelf, unless you have the
parts or can get them cheap/second hand/surplus.
EDIT: Btw. the beefy PSU has come in handy one cold winter morning when my car battery was dead.
20min. at 12A pushed enough juice in it to cranck the engine
.