As a power electronics engineer developing switched mode power supplies and VFDs for some years, I have loads of PSUs in the garage to choose from but I've still used mains transformers and large electrolytics for my machines for the reasons JazzCNC gives.

Having said that, I've also got voltage clamps on my power supplies to limit any voltage surges during rapid deceleration of the machine. I notice that the LiChuan A4 servo drives I got recently for my current lathe conversion (thanks for the recommendation, JazzCNC) have built-in braking resistors that should take care of this to some extent in a similar way.

For my large machine, I bought a 3000VA site transformer from Screwfix (the steel housing version, not the yellow encapsulated type) and removed some secondary turns to reduce the output to 100Vac. This gives about 140Vdc on the cap and cost me less than £100.

I once made the mistake of combining a Leadshine switched mode PSU with a large electroloytic capacitor on one of my machines and found that it often wouldn't start up at the first attempt. This was because it saw the cap as a short circuit during startup and had a latching current limit. They don't all behave like that but a mains transformer is a bullet proof solution in comparison. And as JazzCNC says, during an overvoltage surge, a regulated PSU can latch off when you least want it to.