Is a half-wave rectifier particularly hard on a transformer?
Hammond recommends an output DC current of 0.28 times the RMS current rating of the transformer for half wave rectification and 0.62 times the RMS current rating for full wave bridge rectified current. 





So if you don't mind using an AC transformer that is 2.2 times bigger (and a filter capacitor that is twice the size) you can save some diodes. 

Since the smallest common size of a mains transformer is a couple of watts, it might be a reasonable choice if the current requirements are modest. Also, you save a diode drop so you get a bit more voltage.