Generating random numbers with normal distribution

Question: Given a standard generator with uniform distribution, generate a normally distributed sequence of random numbers.
Answer: Box-Muller transform!

http://en.wikipedia.org/wiki/Box%E2%80%93Muller_transform

Source snippet:

class NormalRandom
{
        private bool haveNextRandom = false;
        private  double nextRandom = 0;
        private  Random rnd = new Random();

        /// <summary>
        /// Implements random number generator with normal distribution

        /// based on the polar form of Box-Muller transform.

        /// </summary>
        /// <returns>A random number with normal distribution.</returns>

        public double NextDouble()

        {

            if (haveNextRandom)

            {

                haveNextRandom = false;

                return nextRandom;

            }

            double x1, x2, w;

            do

            {

                x1 = 2.0 * rnd.NextDouble() - 1.0;

                x2 = 2.0 * rnd.NextDouble() - 1.0;

                w = x1 * x1 + x2 * x2;

            } while (w >= 1.0);

            w = Math.Sqrt((-2.0 * Math.Log(w)) / w);

            nextRandom = x2 * w;

            haveNextRandom = true;

           return x1 * w;

        }

}

...and here are the results: