Q:

How to wire several 78XX series regulators? 

I have a 30V power source and I need to get several different voltages from it using linear regulator.  24V for op amps, 12V for relays and 5V for MCU.  They all going to be installed on a heatsink. 
If I wire them in parallel 7805 regulator have to drop 25V and that means a lot of heat.  if I wire them in series all of the current is going to pass through the 7824 regulator and that is going to generate a lot of heat too. 

simulate this circuit – Schematic created using CircuitLab
I know linear regulators basically are not efficient but for this specific project I need a linear output. 
Comparing this two configuration, which one is more efficient?  series or parallel? 

A:

They are about as inefficient either way.  You have ~15mA drawn from 30V (almost half a watt) before you start drawing any current from the rails.  Iq goes up slightly with voltage but it can be ignored.  
If you need any substantial current from this, especially from the 5V supply, you'd be far better off using a switching supply, followed by a linear regulator if that's really necessary.  Either way you'll be throwing away almost 85% of the power used on the 5V bus.  
Also, the original uA7805s are only recommended for 25V input, and 7812s for 30V. So you would be exceeding the maximum recommended rating with the parallel connection, and are uncomfortably close to the absolute maximum 35V rating for 7805/7812.   
Edit: 

200mA from 5V = +5W in the regulator(s)
200mA from 12V = +3.6W in the regulator(s) 
200mA from 24V = +1.2W in the regulator(s)
on top of the 0.5W or so quiescent

So you need to get rid of more than 10W of power.  Very, very wasteful and you'll need a big heatsink or a smaller one and a fan. 