Here's a "regulator" that is nothing more than a restriction valve - it goes back up to full tank pressure once the trigger is released, which means the initial part of the next spray burst will be at full tank pressure (bad!):
http://www.harborfreight.com/cpi/ctaf/Displayitem.taf?itemnumber=36797
Here's a "real" regulator that keeps the low-pressure side regulated down to the set pressure range even after the trigger is released (the big blue part is the moisture trap/filter, not the regulator itself):
http://www.harborfreight.com/cpi/ctaf/Displayitem.taf?itemnumber=1118
This type of unit has a diaphragm mechanism that allows it to control pressure much more precisely.