Building a new dynamo bike light
If it is to be used for smoothing the capacitor should not be in series with the circuit to the regulator. A capacitor in that location can assist with voltage provided at lower speeds, but that's getting fancier than is relevant at this stage.

An excellent page is Dynamo-Powered LED Light Circuits for Bicycles.
This has a large number of ideas and circuits.

Note that the writer has a few wrong ideas so take due care about why rather than what -  but you will probably find a circuit to suit your there.

MANY relevant ideas

Note that dynamos TEND towards constant current and in many  cases your can get more  power just by raising voltage.

Headlight conversion
http://karlmccracken.sweat365.com/2012/02/22/pashley-dynamo-headlamp-upgrade/

Dynamo to cellphone charger
http://www.arenddeboer.com/bicycle-usb-charger-using-a-hub-dynamo-update

Dynamo to Minty Boost.
http://forums.adafruit.com/viewtopic.php?f=15&amp;t=19515

BSc project - related to 1st ref 
http://www.pilom.com/BicycleElectronics/BicycleElectronics.htm

OK discussion - http://in.answers.yahoo.com/question/index?qid=20110709001827AA3kp21