The most efficient, lightweight and affordable route for a beefy modular supply is going for an SMPS (Switch Mode Power Supply).
SMPS had - and some still have - a bad reputation because, as with anything else, there are good ones and bad ones.
Cheap and/or old designs could indeed be crappy.
Hopefully, plenty of users have reported perfect satisfaction with many SMPS models.
A quick check with users on modular dedicated forums will help you in selecting a good supply.

By the way, did you realize that most pro-audio equipment these days, including the finest mixing desks, power amps and sound processors, use SMPS?

So where are the issues?
Off-the-shelf affordable SMPS are not inherently designed to fulfill Eurorack needs. When looking for an SMPS providing all 3 required voltages from a single unit, the +12V and -12V rails are typically weak compared to an excessively powerful 5V rail.
These 3-rail supplies are dedicated to computers wherein the 12 volt rails play a secondary role. The 12V rails are not specified with the same care and strength as the “main” 5V rail.
Finally, the cost and weight of such supply block will relate to its hefty 5V power capability, overblown for Eurorack usage.
Better forget the 3-rail supplies!

It’s much easier to find a good two-rail-only +12/-12 SMPS, and not bother for the lack of 5V.
When buying a supply, the first selection criterion is the power available (along with the “cleanness” of the voltages; the smallest the ripple voltage, the better).

In Eurorack, consumption is discussed in milliamps (1 amp = 1000 milliamps), so you have to decide how many amps you need.
Dual supplies offer the same power on both rails. Unfortunately, in practice, there is an imbalance in Eurorack power needs; a typical case will draw almost twice the current on the positive rail than on the negative one*. This is the way the modules are made that creates that consumption imbalance.

Then, we need a 5V rail and the usual way is to put some voltage regulator on the +12V rail.
Knowing that the 12V rail is already the most loaded, doing so is inadequate and to be frank, somehow silly isn't it?
This is where Klavis' NoDrain converter comes handy as it draws its current from the negative rail. The power needs on the 5V rail are easily covered by the unused power on the negative 12V rail. All of your +12V power is then available for its dedicated use.
You don’t have to buy a bigger SMPS to divert some +12V in making the 5V.

*based on stats from 50 randomly selected racks on modulargrid – Feb 2017