You could try something more modern instead of LM337, LM338 .. for example see
LM1084, LT1084 etc for up to 5A with just 1.3v drop , or
*1085 for the 3A version with same specs. LT1083 can do 7.5A but it's even more expensive.
For negative voltages lm337 is good enough, if you want more amps you can go with LT1033 or LT1185 for example, both do 3A ... downside is they're somewhat expensive.
Be careful if you go with LM337 or similar... they can only dissipate about 15w. This means you can't just give it 30v input and configure it to output 5v at 2A ... that would mean you're dissipating 50 watts [ (30-5) x 2 = 50w). Get a center tap transformer and switch between taps when you need to go above a particular voltage, for example 0-16v , 16-32v
Transformers aren't that expensive.
Here's some transformers (long digikey url) :
http://goo.gl/vtLMw3When picking one (or two, see below), keep in mind that you need to rectify that AC voltage to DC using bridge rectifier, which means your peak DC voltage will be Vac x 1.414 - 2 x Vdiode drop ... so a 24v AC transformer will give you ~ 32v peak dc voltage.
Then you need to size up the capacitors accordingly, so that the input voltage will always be above a particular voltage, for the regulators to work.
Example.. for 3A of current and just 2v drop between peak dc voltage of 32v you'd need C = current / (2 x ac freq x vripple) = 3 / 2x50x2 = 3 / 200 = 0.015 farads or 15.000 uF
So it would make more sense to pick a 28-30v AC transformer, like
this one for example that's 28v AC, because then you'd have about 37v peak DC, so you could size the capacitors for minimum 34v, therefore you could use C = 3 / 300 = 10.000 uF (or about 3 x 3300uF 50v electrolytics in parallel)
Then also keep in mind the VA rating.. for example a 24Vac 100Va (4.16A) will be 32v peak dc at about 0.68x4.16 = 2.8 A
My advice would be to use TWO transformers with center tap, for example this one:
http://www.digikey.com/product-detail/en/VPS28-6250/237-1282-ND/666168 this one will give you ~ 37v DC @ 4.25A
Connect all four secondary windings in series, the link between transformers becomes your ground, and then you have two windings for positive, two for negative..
If you really want 5A, either go with a larger transformer (but expensive, 40$+ as far as I see on Digikey), or make a compromise and make it 5a+ just on 0-16v by placing the secondary windings in parallel.