A conventional linear supply basically arranges to suck up the voltage drop between the input voltage and the regulated voltage, and dissipate the v_drop * i_load power. In some cases, the designer is willing to allow that, but in other cases, the wasted power and generated heat may be prohibitive, so switching power supplies are used. If the input voltage is very high, the power supply efficiency could be as low as 5%.
A switching power supply could be very loosely viwed as a DC-DC transformer. It basically packetizes chunks of power at v_in*i_in and transforms the packet into v_out*i_out. The efficiency of the transformation can be as high as 90%.
TTFN
FAQ731-376