Demos
Random Numbers:
http://demonstrations.wolfram.com/RandomNumberGeneration/
Linear Congruential Generator (Wolfram)
http://demonstrations.wolfram.com/LinearCongruentialGenerators/
Mersenne Twister (Wolfram)
http://demonstrations.wolfram.com/MersenneTwisterAndFriends/
Inverse Transform Sampling:
http://demonstrations.wolfram.com/TheMethodOfInverseTransforms/
Random Numbers (Applet):
http://intuitor.com/statistics/RandNumEvaluator/RandNumEvaluator.htm