Sanjaya Maniktala's books are hands-down the best on SMPS design, especially for non-isolated topologies. Check out his "Switching Power Supplies A-Z." For the nitty-gritty on transformer-based supplies (forward, bridge, etc.), Abraham Pressman's "Switching Power Supply Design" is the classic, and has been recently revised.
Transformer design is almost as much art as science, and the particular procedure will depend on a lot of factors. Most off-the-shelf transformers are generally capable of lower power. Source like Magnetics, Inc. can supply you with a lot of information of cores and design help based your desired capacity, operating frequency, etc. Micrometals is a good source for lower-cost powdered-iron cores if you're designing things like chokes or inductors. All of the core manufacturers have a wealth of info to get you started, and the above-mentioned books also will be very helpful.
Usually you'll choose a topology based on what kind of capacity you'd like to achieve. For transformer-based designs, lower power to higher power goes roughly in the order of flyback, forward, push-pull, half bridge, full bridge. More advanced higher power designs rely on resonant switching to mitigate switching losses and EMI.
You can use a separate auxiliary ("housekeeping") supply to power the micro and supporting circuitry, or you can bootstrap the auxiliary supply from the output of the SMPS.
I would personally choose a linear supply for bench work, especially if you're making your own. Unless it's carefully designed, noise from a switching supply can cause all sorts of headaches.