Afroman covers the basics of how transformers work, where to shop for step down mains transformers, and how to wire one up to mains voltages without killing yourself. European and North American wiring is discussed. He finishes up with a quick example of AC to DC conversion in an unregulated dual rail power supply. Remember to add a fuse in series with the mains wiring. The diode tutorial is the next part in the trilogy of how to build a stable power supply.
The dual rail power supply circuit diagram from the video: