After the constant nagging from a certain-not-to-be-named member of this board (besides, Oztules wouldn't want me to mention his name) I figured that it would never end unless I simply converted a PSU.
So, especially for that not-to-be-named member of this board, here goes.
The victim:
A 200 W PC Power Supply Unit (PSU), old style (not an ATX), with a power on/off switch in the grid line. None of that fancy 'sleep mode' stuff here. Off is off.

The victim opened up for surgery:

Some people say it's a piece of cake to convert those (Angus, you reading this ?). Must be because they've never done the surgery. Personally I -hate- working on switchmode PSU. Guess I've had too many FETs blow up in my face. One small mistake and -poof-...
Ok, what needs to be done ?
- overvoltage/current protection needs to be disabled (the hardest part)
- voltage regulation modified (potmeter adjusted '12V', range 2.5-20 V)
- all relevant electrolytics need to be replaced by higher voltage ones (with low ESR)
- current regulation needs to be added (likely the simplest modification)
For starters I decided to make a schematic of the relevant parts. That always helps to understand what's going on.
Notice that each PC PSU is different; another one that I modified about 2 years ago from 12.0 to 13.8 V was slightly different. Hence, a schematic is useful mostly for the specific unit at hand.
First modification: Modify the voltage regulation to 2.5-20 V. This was relatively easy; there's already a 500 ohm pot in there that adjusts voltage from 10-12 V; removing some components and replacing by a potmeter and resistor got that part working. However, when adjusting the voltage above 9.0 V (on the 12 V line) the PSU tripped. Turned out that adding a 20n/100V capacitor over the wiper of the potmeter solved that issue.
By then I could adjust to 12.3 V (5.99 V on the 5 V line) before it tripped into overvoltage protection. After fiddling around, taking out some resistors, etc., it turned out that simply removing the SCR (part of the overvoltage protection circuit) solved that problem. By now I could adjust the voltage from 2.47 V to 18.85 V (the design goal was 20.0 V; I'll have to reduce the 7.5 kohm resistor a little to increase its upper range.

Then the first test under load: a 12V/4.5A H4 car headlight. My favourite testing dummyload. When the bulb was still cold it flashed on briefly before the PSU tripped into overcurrent protection. Quickly unplugging and plugging it in again helped it to start up (the filament of the H4 bulb was by then heated enough so its resistance wasn't so low anymore). Adjusting voltage from 2.5 to 15 V worked perfectly, but below 9.5 V the PSU starts audibly whining; the frequency of it goes down as voltage goes down.

One con of this modification: the fan takes its voltage from the 12V line; when it's adjusted to below 7 V the fan stops; above 12 V it spins too rapidly.
My current idea is to house this variable PSU, together with a 'plain' PC PSU, in one case. That would give me regulated +3.3V, +5V, +12V, -5V and -12 V. The PSU I've modified will be able to provide any variable voltage. Add a few meters for current and voltage and we're finished.
Next tasks:
- replace all elcos by higher voltage ones
- add current control
The current control isn't that important for me (this is my first variable voltage power supply in 25 years of tinkering with electronics; my previous supply was an old 'golden' PSU from an Apple II, which puts out +5, +12, -5 and -12 V; so far, it did everything I ever needed...
But I figure if I don't add current control Oz will likely keep pestering me. For me it's a bit of a luxury though.
Higher resolution pictures can be found in my gallery:
http://www.anotherpower.com/gallery/dinges?page=19
http://www.anotherpower.com/gallery/dinges?page=20
So far so good. Still alive, no blown up FETs or ferrites. Who knows. Maybe Oztules was right...
Peter.
PS: just for clarity, this is not a beginner's project.