Switch mode power supplies are a relatively modern (since the 1970's) way of converting one voltage into another. They are lighter than the older power transformer based supplies, as well as more efficient. This higher efficiency leads to less heat production as well. Switching power supplies are also more flexible; some of them can accept a wide range of input voltages so that 120/240 switches are not necessary. Just plug it in, let the power supply figure it out.

The theory of operation is simple. The input voltage is rectified and filtered, then used to drive a high frequency oscillator. The frequency is generally much higher than the range of human hearing. The output of this oscillator is then fed into a transformer, which converts the voltage appropriately. Since the frequency is so high, this transformer can be much smaller and lighter than the kind required to convert 60Hz alternating current.

The output of this transformer is then rectified and filtered with large capacitors. Some of the output is also fed into the oscillator, where it regulates its frequency. As the oscillator frequency changes, so does the output voltage; this forms a feedback loop which keeps the output voltage constant regardless of load. (Provided the load doesn't become excessive, that is.)

The downside to switch-mode power supplies is that they can generate spurious high frequency interference. This is the reason they are generally not used in high end audio equipment; filtering out the interference becomes costlier than simply using a low-frequency transformer and filter caps the size of melons.