So i know that a lot of devices can convert AC to DC like small signal diodes, transformers, Capacitors (power supply filters). They all do the same thing, so how do you decide which one is most suitable in a circuit?
Be careful here... Filters, transformers, capacitors do not convert AC to DC...
AC is alternating current... it goes forwards and backwards.
DC is direct current... and it travels in one direction only.
A transformer is used to convert the 'voltage' or 'current' quantity, but it only works with AC.
A diode, (or a collection of diodes used to form a bridge rectifier) will either prevent current from flowing in reverse into a circuit, or divert the current so that the 'backwards' stroke of an AC cycle is flipped and directed 'forward' into a circuit. Google these things if you want to understand how.
A capacitor (and often times an inductor) are used to smooth things out to provide a more stable voltage/current.
Remember that AC changes direction... as it changes direction, the voltage must decrease to 0V before it can actually change direction... this 'low' point is still low even when converted to DC. That's what the Capacitors/Inductors and other filters do. They temporarily store energy to use to even out the wavy output.
That said... there are also switch-mode supplies that can do the same thing, but I won't go into that.