Positive and negative DC PSU from AC

Certainly this can work and it's good in the case you want a split supply but only have a single output winding on your transformer. If, on the other hand you have a center tapped winding I would always recommend using a full bridge rectifier between the outer connections and ground the center tap, keeping the rest the same, except you might want to choose series chokes more in the range of 100uH - 2mH depending on the application. Using a pair of smaller value (1-10uF), high quality film caps in parallel with each bank of large electrolytics is pretty standard for filtering higher frequency noise and ensuring regulator stability. Also, if a person is after a widely variable supply (1.25 - 30V, 1.5A) rather than a fixed one the regulators to get would be the LM317/LM337 for the + and - sides, respectively.