Lowers the dynamic resistance of the supply (good thing) but ultimately it is balancing act when your designing a supply. Too little resistance in the total supply and the supply can ring on transients. Best bet is to learn how to play with PSUDII to see the interaction of things and to have a good idea of how the supply turns out.
Usually a 500Vct transformer will yield much more than 500V DC B+. Cap input supplies will yield roughly 1.4X the VAC rating (minus loses in the filtering) and choke input 0.9x the VAC. Small first cap can be used to tune between 0.9x and 1.4x. This is usually best done by experimentation.