They are all OK to use, but if I could suggest a better one, the LM2940-CT5 is a low dropout regulator which means the input only has to be 5.5 volts or more for the regulator to work. Normal regulators, like the ones you mentioned, need to have about 8 volts input to work.
This difference in input minus output voltage times the current flowing is what makes the regulator get hot. So, the smaller it is, the better.
Also, the ripple from the filter capacitor (before the regulator in a power supply) gets larger as more current is drawn. So, if the regulator is a low dropout type, this ripple can be greater without causing ripple in the output of the regulator.
A good comparison feature for regulators is the temperature stability.
A 7805 has a voltage shift with temperature of -1.1 mV per degree celcius
A LM2940 - CT5 has a voltage shift with temperature of 0.2 mV per degree celcius.
So, the LM2940 is more stable too. This might matter if you try to supply power to an oscillator.
LM78XX is the most common one and you should be able to get it anywhere even in Radio Shack. Not necessary the best because it is so old.