In a linear power supply, which stage typically requires a heat sink?

A linear voltage regulator works by taking an input voltage that is slightly higher than the desired output and "burning off" the excess voltage to keep the output constant. It does this by acting like a variable resistor. Because power equals voltage multiplied by current (P = E x I), dropping that excess voltage while a high current is flowing through the regulator generates a significant amount of heat. If this heat is not dissipated, the electronic component will quickly overheat and be destroyed. Therefore, the voltage regulator is the stage that almost always requires a heat sink to safely draw that thermal energy away into the surrounding air. While transformers and rectifiers can get warm, the regulator fundamentally relies on dissipating power as heat to do its job.