Powering my Prototype PCB - onboard Regulator or External Supply?
Personally I usually power my prototypes from my bench power supply (it's an old ATX PSU).  As you say, it saves picking a VReg at this stage.

Yes, you should have a nice meaty capacitor where the power enters the board.

On the times where I do want to have an unregulated power input to my prototypes (say a wall wart) I usually over-spec the regulator to use, so that I don't have to worry about the power requirements changing.  I often don't worry too much about efficiency at this point though, and very often go for a linear regulator with heat sink where a switching one would be far better, but for a quick-n-dirty prototype it's not too much of an issue.

It is quite common for the power supply portion to be on a separate board any way - makes for a more modular system that is easier to design / redesign.  Also if you are involving high voltages (well, mains - I know some of you don't think of that as "high") keeping it away from the main board is best as it means you can have the board running and not worry about handling it live.