Linear regulators are in fact used for room lighting, and efficiency can be reasonably good. Typical design is AC input -> bridge rectifier -> passive low-pass

Linear regulators are in fact used for room lighting, and efficiency can be reasonably good. Typical design is AC input -> bridge rectifier -> passive low-pass filter -> long string of LEDs with a single linear regulator in series. Voltage drop across the regulator is much lower than across the string of LEDs so there's not a whole lot of heat generated.