Trying not to stray too far off topic, and knowing we have SMPSU engineers in here who could wipe the floor with me. Whilst Kitwn is almost completely correct in what he's saying I'd also throw in that voltage regulation can be compromised, particularly with poor design (for that read "cheap") if the presented load is completely inappropriate for the PSU rating.

The conversation about efficiency - the SMPSU efficiency would be measured at a given load - maybe 100%, maybe 80%. The efficiency at low % loads will be horrendous (consider that off load the efficiency tends towards 0). It'd be worth considering the efficiency under load and rule-of-thumb and assume that this is the worst-case thermal load and budget for that in your design.

All I'd say is that AS WELL as cost and size, I'd consider whether a PSU rating is appropriate using a wet fingered order-of-magnitude approximation - I would avoid a 1kW design for a 1W load. I'd be happy to use 1kW for something that could be expected to draw a couple of hundred watts. Common sense applies.