The LM317 is not very good for "laboratory power supply" but for tests and troubleshooting it can go preety far.
This is the circuit that i have used to build one myself (note that this circuit is taken from original data sheet, but there is a mistake, pins 2 and 3 are swapped there. This is the right version!)
As you can see, there are only few components used.
1. LM317 microchip
2. 1uF electrolytic capacitor (The black stripe in circuit is anode (Negative; -))
3. 10uF electrolytic capacitor (The black stripe in circuit is anode (Negative; -))
4. 0.1uf ceramic capacitor5. 240 (200 or 270 is also OK) ohm 0.125W resistor
6. 5K mono linear potentiometer
7. Any LED.
8. 1k ohm 0.125W resistor
The pricing of all these things should be around 2$, or if you have resistors, capacitors and LED lying around it will be around 1$.
Sorry, but i wont be able to show you any photos if me making it - my camera is at the other town (im studying) at the moment, but heres a picture to see how small it actually is:
It is cheap, small, does not heat at all, but its hell useful! Try building one yourself!