Streak,
I use an LM350, which is just a higher current version of the LM317 (exact same pinouts/usage).
Here's what I do - Instead of finding really small resistor values, I have a bank of 5 switches that will switch in/out 5 resistors (one resistor for each switch), that are wired in parallel. The resistor values I have are 47 ohms (~30 mA), 10 ohms (~130mA), 3.9 ohms (~310mA), 2 ohms (~620mA), 1.4 ohms (~920mA). The 1.4 ohm was constructed from 3 0.47 ohm resistors in series.
For instance, to get about 440mA, I switch on the second and third switches, putting the 10 and 3.9 ohm resistors in parallel to get about 2.8 ohms, for 440-450mA. If I turn all switches on, I get all resistors in parallel, for 0.64 ohms, just under 2 amps.
This gives me a good number of different currents, to drive all manner of Luxeon LEDs, as well as regular (5mm) LEDs. And, if I keep an eye on things, I can charge NiCD/NiMH batteries with it as well.
I feed it with a 24V, 3A switching power supply. There is a large heat sink with a fan bolted to the '350, since it will dissipate up to 48W (max current, short circuit, the '350 is dissipating all the power).
If this doesn't make sense, I can draw a circuit schematic for you.