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First, I think a few boundaries are required. Are you producing a power supply to start a car (low volts high amps) or power a household device (high voltage and some current) or a bench top (low voltage low current).
For the latter, which I'm more familiar with since I design embedded processors, programmable low voltage (<10V) low current (< 600mA) PMICs (Power Management ICs) are becoming popular. National has a LP3970, designed to power the intel XScale processor, that has 8 LDOs and two switchers, all programmable via an I2C link. The LDOs are only good to 150mA and the switchers to 650mA. National has a great eval kit that is controlled via USB and a GUI in windows where you can program the output voltages with software dials. Intersil and TI also have similar parts.
The design of a programmable power supply depends on the load for which you are designing it. For simple applications you can use LM317 and by simply switching different resistor netowrks at the ADJ terminal you can get different voltage levels. You can use the AD converter of an AVR or PIC to measure the voltage at the output.
A bit more complicated but really programmable power supply can be made using the switching power supply technique. Texas instruments have a number of solutions for this type of supplies. Search at their site for UC3842,UC3843,UC3844 IC's.They have provided complete designs for their chips that you can follow.
Best of Luck.