Unique (non-repeating) random numbers in O(1)?

Initialize an array of 1001 integers with the values 0-1000 and set a variable, max, to the current max index of the array (starting with 1000). Pick a random number, r, between 0 and max, swap the number at the position r with the number at position max and return the number now at position max. Decrement max by 1 and continue. When max is 0, set max back to the size of the array - 1 and start again without the need to reinitialize the array.

Update: Although I came up with this method on my own when I answered the question, after some research I realize this is a modified version of Fisher-Yates known as Durstenfeld-Fisher-Yates or Knuth-Fisher-Yates. Since the description may be a little difficult to follow, I have provided an example below (using 11 elements instead of 1001):

Array starts off with 11 elements initialized to array[n] = n, max starts off at 10:

+--+--+--+--+--+--+--+--+--+--+--+
| 0| 1| 2| 3| 4| 5| 6| 7| 8| 9|10|
+--+--+--+--+--+--+--+--+--+--+--+
                                ^
                               max    

At each iteration, a random number r is selected between 0 and max, array[r] and array[max] are swapped, the new array[max] is returned, and max is decremented:

max = 10, r = 3
           +--------------------+
           v                    v
+--+--+--+--+--+--+--+--+--+--+--+
| 0| 1| 2|10| 4| 5| 6| 7| 8| 9| 3|
+--+--+--+--+--+--+--+--+--+--+--+

max = 9, r = 7
                       +-----+
                       v     v
+--+--+--+--+--+--+--+--+--+--+--+
| 0| 1| 2|10| 4| 5| 6| 9| 8| 7: 3|
+--+--+--+--+--+--+--+--+--+--+--+

max = 8, r = 1
     +--------------------+
     v                    v
+--+--+--+--+--+--+--+--+--+--+--+
| 0| 8| 2|10| 4| 5| 6| 9| 1: 7| 3|
+--+--+--+--+--+--+--+--+--+--+--+

max = 7, r = 5
                 +-----+
                 v     v
+--+--+--+--+--+--+--+--+--+--+--+
| 0| 8| 2|10| 4| 9| 6| 5: 1| 7| 3|
+--+--+--+--+--+--+--+--+--+--+--+

...

After 11 iterations, all numbers in the array have been selected, max == 0, and the array elements are shuffled:

+--+--+--+--+--+--+--+--+--+--+--+
| 4|10| 8| 6| 2| 0| 9| 5| 1| 7| 3|
+--+--+--+--+--+--+--+--+--+--+--+

At this point, max can be reset to 10 and the process can continue.

You can do this:

1. Create a list, 0..1000.
2. Shuffle the list. (See Fisher-Yates shuffle for a good way to do this.)
3. Return numbers in order from the shuffled list.

So this doesn't require a search of old values each time, but it still requires O(N) for the initial shuffle. But as Nils pointed out in comments, this is amortised O(1).

Use a Maximal Linear Feedback Shift Register.

It's implementable in a few lines of C and at runtime does little more than a couple test/branches, a little addition and bit shifting. It's not random, but it fools most people.