well, designing the forward voltage of a string of LEDs so that it barely turns on at the peak of the AC voltage is one way to do things. The disadvantages of this approach are:
1. that the LEDs only conduct for a very small portion of the AC waveform, increasing the flicker of the light.
2. that any minor variation in the AC voltage (due to local load variation, poor wiring, etc) will either produce noticable dimming or increase the LED current sufficiently to cause damage.
3. that the LEDs will need to be oversized and underutilized in order to handle the large variation in current that results from item #2.
If the goal is the highest efficiency in terms of lumens per watt, then this approach might be the best. There are certainly no losses in a regulator circuit, and the need to run the LEDs at lower than rated currents means that they will be more efficient. The price that is paid is higher cost, increased flicker, and lower reliability (...possibly...).
Adding a resistor is certainly a simple and very reliable way to limit the LED current, although at a cost to efficiency. Linear and switching regulators improve regulation and should have minimal impact to reliability, assuming that they are designed with suitable derating of components. The more complicated/sophisticated designs will add cost relative to the resistor, but could be worth it in terms of higher efficiency, etc.
I have to admit that this is the first time I've heard of someone building an AC powered LED light w/o current limiting! I wouldn't recommend it, but as long as it works for you and makes you happy, then it's a great thing! (well, and it also doesn't seem like it should set your home on fire either... you do have a fuse wired in series with it, don't you?). Can't be too careful!
Steve K.