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Real Besov spaces \\(B^s_{p,q}({\\mathbb R}^n, \\langle x\\rangle^\\beta)\\), real Sobolev spaces \\(H^s_{p}({\\mathbb R}^n, \\langle x\\rangle^\\beta)\\) with polynomial weights \\(\\langle x\\rangle^\\beta=(1+| x|^2)^{\\beta/2}\\) are regarded, as well as H\u00f6lder spaces \\({\\mathcal C}^s({\\mathbb R}^n)\\). It is assumed that \\(s-\\frac n p >0\\); so the spaces consist of regular distributions. Moreover, upper bounds for the metric entropies of the restrictions of sets \\(\\mathcal F\\) to Borel subsets \\(\\Omega\\subset{\\mathbb R}^n\\) are calculated. The results for Besov spaces imply the similar estimates for Triebel--Lizorkin spaces.   The estimates are applied to the theory of empirical processes. In particular, it is proved that the above bounded subsets are Donsker classes uniformly in various sets of probability measures.   To prove the main estimates the authors adapt results of \\textit{D.\\,Haroske} and \\textit{H.\\,Triebel} [Math.\\ Nachr.\\ 167, 131--156 (1994; Zbl 0829.46019); ibid.\\ 278, 108--132 (2005; Zbl 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