Regulated means that there is some kind of semi conductor circuit fixing the voltage to a certain value. An unregulated power supply would just be something simple like a rectifier into some caps. The output voltage would vary depending on load and input voltage - ie AC mains from your wall.
The two types of regulated power supplies are switching and linear. Switching supplies use pulse width modulation to achieve a voltage, meaning that they turn the output on and off rapidly to achieve an average desired voltage. These are smaller and cooler but generally noisier than linear supplies. Linear supplies supply a constant output voltage and will require a larger transformer and more heatsinking.
The sigma 22 is an all discrete extremely high performance linear regulated power supply. It is dual rail, meaning it has a positive and negative output, and tracking refers to that any fluctuation in one rail will be mirrored in the other so you never have unbalanced voltage between positive and negative. AMB's website under the technical details does a very good describing the features of the sigma 22. Most modern headphone amp power supplies will be linear regulated.
Edited by bcg27 - 11/21/11 at 7:52pm