Zhi_Yi,
*
The short answer is:
Switching regulators are more efficient than linear regulators.
~
One disadvantage is that the output noise is generally higher than the output noise of a linear regulator.
Regards,
Kral
To all the replies you got concerning more eficiency, less volume, consider also that if you use an offline SMPS ( one that is feeded from the power line ) you can obtain very easily a great line regulation. Is common to see SMPS with input voltage from 80 to 2240 ACV.
If noise is a problem, you can reduce it by filtering or addiing a post linear regulator.
In www.ti.com you can find more tutorials wich cover SMPS