Set PWM frequency to 25 kHz

You can configure Timer 1 to cycle at 25 kHz in phase correct PWM mode, and use it's two outputs on pins 9 and 10 like so:

// PWM output @ 25 kHz, only on pins 9 and 10.
// Output value should be between 0 and 320, inclusive.
void analogWrite25k(int pin, int value)
{
    switch (pin) {
        case 9:
            OCR1A = value;
            break;
        case 10:
            OCR1B = value;
            break;
        default:
            // no other pin will work
            break;
    }
}

void setup()
{
    // Configure Timer 1 for PWM @ 25 kHz.
    TCCR1A = 0;           // undo the configuration done by...
    TCCR1B = 0;           // ...the Arduino core library
    TCNT1  = 0;           // reset timer
    TCCR1A = _BV(COM1A1)  // non-inverted PWM on ch. A
           | _BV(COM1B1)  // same on ch; B
           | _BV(WGM11);  // mode 10: ph. correct PWM, TOP = ICR1
    TCCR1B = _BV(WGM13)   // ditto
           | _BV(CS10);   // prescaler = 1
    ICR1   = 320;         // TOP = 320

    // Set the PWM pins as output.
    pinMode( 9, OUTPUT);
    pinMode(10, OUTPUT);
}

void loop()
{
    // Just an example:
    analogWrite25k( 9, 110);
    analogWrite25k(10, 210);
    for (;;) ;  // infinite loop
}

Writing a value of 0 with analogWrite25k() means the pin will be always LOW, whereas 320 means always HIGH. The regular analogWrite() should almost work, but it will interpret 255 the same as 320 (i.e. always HIGH).

This code assumes an Arduino Uno or similar board (ATmega168 or 328 @ 16 MHz). The method used here requires a 16-bit timer, and thus it uses Timer 1 as it's the only one available on the Uno; that's why only two outputs are available. The method could be adapted to other AVR-based boards with a 16-bit timer. As Gerben noted, that timer should have a corresponding ICRx register. There are 4 such timers on the Arduino Mega, each with 3 outputs.

I am posting this second answer since I realized it is possible to have 4 PWM channels at 25 kHz with 161 steps on a single Arduino Uno. This involves changing the main clock frequency to 8 MHz, which has some side effects since the whole program will run half as fast. It also involves reconfiguring the three timers, which means loosing the Arduino timing functions (millis(), micros(), delay() and delayMicroseconds()). If these trade-offs are acceptable, here is how it goes:

void setup()
{
    // Set the main system clock to 8 MHz.
    noInterrupts();
    CLKPR = _BV(CLKPCE);  // enable change of the clock prescaler
    CLKPR = _BV(CLKPS0);  // divide frequency by 2
    interrupts();

    // Configure Timer 0 for phase correct PWM @ 25 kHz.
    TCCR0A = 0;           // undo the configuration done by...
    TCCR0B = 0;           // ...the Arduino core library
    TCNT0  = 0;           // reset timer
    TCCR0A = _BV(COM0B1)  // non-inverted PWM on ch. B
        | _BV(WGM00);  // mode 5: ph. correct PWM, TOP = OCR0A
    TCCR0B = _BV(WGM02)   // ditto
        | _BV(CS00);   // prescaler = 1
    OCR0A  = 160;         // TOP = 160

    // Same for Timer 1.
    TCCR1A = 0;
    TCCR1B = 0;
    TCNT1  = 0;
    TCCR1A = _BV(COM1A1)  // non-inverted PWM on ch. A
        | _BV(COM1B1)  // same on ch. B
        | _BV(WGM11);  // mode 10: ph. correct PWM, TOP = ICR1
    TCCR1B = _BV(WGM13)   // ditto
        | _BV(CS10);   // prescaler = 1
    ICR1   = 160;

    // Same for Timer 2.
    TCCR2A = 0;
    TCCR2B = 0;
    TCNT2  = 0;
    TCCR2A = _BV(COM2B1)  // non-inverted PWM on ch. B
        | _BV(WGM20);  // mode 5: ph. correct PWM, TOP = OCR2A
    TCCR2B = _BV(WGM22)   // ditto
        | _BV(CS20);   // prescaler = 1
    OCR2A  = 160;
}

void loop()
{
    analogWrite( 3,   1);  // duty cycle = 1/160
    analogWrite( 5,  53);  // ~ 1/3
    analogWrite( 9, 107);  // ~ 2/3
    analogWrite(10, 159);  // 159/160
}

Unlike the other answer, this does not need a modified version of analogWrite(): the standard one will work fine. Only care should be taken that:

1. The value written should be between 0 (meaning always LOW) and 160 (always HIGH), inclusive.
2. Only pins 3, 5, 9 and 10 are available. Attempting to analogWrite() to pins 6 or 11 will not only fail to deliver a PWM output, it will also change the frequency on pin 5 or 3 respectively.