Pseudo-random number generator

The German magazine C't tested a number of software and hardware generators in the 2/2009 issue and ran the results through various statistical tests.

I scanned the results here.

I would not bother writing my own. The article mentions that even Donald Knuth failed with his "Super-random number generator", which was not so random after all. Get one that passed all tests (had a result > 0 in all columns). They also tested a setup with a VIA EPIA M10000 mobo, which has a hardware RNG. I like this option for a commercial or semi-commercial setup that requires a robust random number server with high throughput.

Unless, of course, you are just playing around, in which case this may be good enough.

It all depends on the application. The generator that creates the "most random" numbers might not be the fastest or most memory-efficient one, for example.

The Mersenne Twister algorithm is a popular, fairly fast pseudo-random number generator that produces quite good results. It has a humongously large period, but also a relatively humongous state (2.5 kB). However it is not deemed good enough for cryptographic applications.

Update: Since this answer was written, the PCG family of algorithms was published that seems to outperform existing non-cryptographic algorithms on most fronts (speed, memory, randomness and period), making it an excellent all-round choice for anything but cryptography.

If you're doing crypto though, my answer remains: don't roll your own.

PRNG algorithms are complicated, as is acquiring the right sources of entropy to make them work well. This is not something you want to do yourself. Every modern language has a PRNG library that will almost certainly be suitable for your use.

Best way to create one is to not to.

Pseudo-random number generators are a very complex subject, so it's better off to use the implementations produced by the people that have a good understanding of the subject.