Suggestion on algorithm to distribute objects of different value

The problem is strongly NP-complete. This means there is no way to ensure a correct solution in reasonable time. (See 3-partition-problem, thanks Paul).

Instead you'll wanna go for a good approximate solution generator. These can often get very close to the optimal answer in very short time. I can recommend the Simulated Annealing technique, which you will also be able to use for a ton of other NP-complete problems.

The idea is this:

1. Distribute the items randomly.
2. Continually make random swaps between two random players, as long as it makes the system more fair, or only a little less fair (see the wiki for details).
3. Stop when you have something fair enough, or you have run out of time.

This solution is much stronger than the 'greedy' algorithms many suggest. The greedy algorithm is the one where you continuously add the largest item to the 'poorest' player. An example of a testcase where greedy fails is [10,9,8,7,7,5,5].

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I did an implementation of SA for you. It follows the wiki article strictly, for educational purposes. If you optimize it, I would say a 100x improvement wouldn't be unrealistic.

from __future__ import division
import random, math

values = [10,9,8,7,7,5,5]
M = 3
kmax = 1000
emax = 0

def s0():
    s = [[] for i in xrange(M)]
    for v in values:
        random.choice(s).append(v)
    return s

def E(s):
    avg = sum(values)/M
    return sum(abs(avg-sum(p))**2 for p in s)

def neighbour(s):
    snew = [p[:] for p in s]
    while True:
        p1, p2 = random.sample(xrange(M),2)
        if s[p1]: break
    item = random.randrange(len(s[p1]))
    snew[p2].append(snew[p1].pop(item))
    return snew

def P(e, enew, T):
    if enew < e: return 1
    return math.exp((e - enew) / T)

def temp(r):
    return (1-r)*100

s = s0()
e = E(s)
sbest = s
ebest = e
k = 0
while k < kmax and e > emax:
    snew = neighbour(s)
    enew = E(snew)
    if enew < ebest:
        sbest = snew; ebest = enew
    if P(e, enew, temp(k/kmax)) > random.random():
        s = snew; e = enew
    k += 1

print sbest

Update: After playing around with Branch'n'Bound, I now believe this method to be superior, as it gives perfect results for the N=30, M=6 case within a second. However I guess you could play around with the simulated annealing approach just as much.

The greedy solution suggested by a few people seems like the best option, I ran it a bunch of times with some random values, and it seems to get it right every time.
If it's not optimal, it's at the very least very close, and it runs in O(nm) or so (I can't be bothered to do the math right now)
C# Implementation:

static List<List<int>> Dist(int n, IList<int> values)
{
    var result = new List<List<int>>();
    for (int i = 1; i <= n; i++)
        result.Add(new List<int>());
    var sortedValues = values.OrderByDescending(val => val);
    foreach (int val in sortedValues)
    {
        var lowest = result.OrderBy(a => a.Sum()).First();
        lowest.Add(val);
    }
    return result;
}