What is the purpose of C2 in the circuit shown in Figure E7-2?

In Figure E7-2, component D1 is a Zener diode that provides the stable reference voltage for the regulator circuit. Capacitor C2 is connected in parallel with this Zener diode. The purpose of C2 is to bypass any high-frequency noise or residual AC ripple coming from the rectifier so that it does not affect the voltage reference. If ripple were allowed to modulate the Zener voltage, the series pass transistor (Q1) would amplify that ripple and pass it directly to the output. C2 is not a 'brute force filter'; that term describes the large primary smoothing capacitor (typically C1) located immediately after the rectifier stage.