Is it possible to step down 240 AC to 5 DC without transformer?
Capacitive power supply circuits have been used for decades in things like alarm clocks, small appliances (coffee makers) and the like. They work pretty well for small constant loads without the bulk of a heavy transformer.


The example circuit uses for C1 a capacitor labeled 225K, which refers to 2.2µF with a tolerance of 10% (see capacitor notation). Components ratings for the Zener diode (ZD) and LED are dependent on the expected power output.

However, they are scary to work on and need special considerations for user safety.

Do not think about using one unless you really know and understand what you are doing. 

Even an experienced engineer like myself will shy away from them, designing everything to the right of the bridge using a bench supply till everything else is proven functional before plugging in the AC with my other hand in my back pocket.

ADDITION

Some switching power supplies also avoid using the large power transformer by rectifying the mains voltage into a large DC voltage then use high frequency switching through a much smaller transformer. Again, though, "There be dragons here!", and the DC voltages on the primary capacitors are nasty.