This video covers the basics of diodes, bridge rectifiers, and how to build simple unregulated AC to DC power supplies than can handle a few mA up to several Amps.
General purpose 1A diodes: http://www.amazon.com/exec/obidos/ASIN/B008LTJOX6/afromods-20
Check out my webpage for more videos about electronics! http://www.afrotechmods.com
I recommend watching my transformer tutorial first if you are confused about where I am getting the AC voltages from: http://www.youtube.com/watch?v=GMePE7NZcxw
Here is a followup video on how to make a regulated voltage supply: