This document is a very nice write up of pseudo-random number generation and has a number of routines included (in C). It also discusses the need for appropriate seeding of the random number generators (see rule 3). Particularly useful for this is the use of /dev/randon/ (if you are on a linux machine).
Note: the routines included in this document are alot simpler to code up than the Mersenne Twister. See also the WELLRNG generator, which is supposed to have better theoretical properties, as an alternative to the MT.
