However, which ones should I choose?
A quick google search revealed a number of options. The most similar seemed the LD1117V33 (COM 00526), which was in a TO-220 package. However, there was also the 5 pin LM2596. What was the difference and why the increased number of pins?
The principle difference is that the LM25xx series is a more efficient, switching regulator, whereas the LD1117 is the usual linear (non-switching) type. The additional two pins of the 25xx are used for ON/OFF control and feedback.
There are, as well, the following regulators:
The cheapest 1117V33 at £2.17 for 10, was the 10pcs LM1117T-3.3 LM1117T LD1117 3.3V TO-220 Voltage Regulator HW
The cheapest LM2596 at £1.81 for 10, was the 10PCS IC LM2596T-3.3 LM2596 NSC TO-220 Voltage Regulator 3A 3.3V NEW
An interesting article on building your own 5V regulator, from instructables, The Introduction of LM2596 Step Down Power Module DC …