If you're interested in building a power supply then you should do it.
Dave is working on a simple yet complete power supply design in the current blogs.
You can skip the digital control parts if you would rather keep it simple and have a potentiometer for voltage/current control.
That way you won't need a micro controller. The whole thing would be discrete components and IC's.
I'd recommend powering it from something like a 15V DC power pack. They're easy to get and safe.
On the other hand, if power supplies don't really interest you and you have other projects you want to do that require a powersupply then i recommend buying one.