How efficient are lab bench power supplies? (affected by output voltage?)
Many supplies nowadays use both a switching regulator and a linear regulator together. The two are set up to track each other, so the voltage dropped by the linear regulator is never excessive.
So for example, say you set the supply to 5V, you might have a 24V input which the switching regulator drops down to 6-7V, then the linear regulator drops that down to the desired 5V. This way you get the benefit of the switchers efficiency with the quiet output of the linear regulator.  

However, as mentioned by Passerby, efficiency and weight is not always so much of a concern compared to reliability and quietness, so many simply use a purely linear supply and deal with the losses involved.
To keep from being ridiculously inefficient however, generally many linear supplies will have more than one tap on the transformer which are switched between at appropriate points in the range (e.g. instead of dropping from 24V to 1V, it would switch to, say, a 5V tap so a lot less power is dissipated) You can usually hear the clicks of the relays at certain points in the voltage range.