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

I'd like to generate unique random numbers between 0 and 1000 that never repeat (i.e. 6 doesn't show up twice), but that doesn't resort to something like an O(N) search of previous values to do it. Is this possible?

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.

You could use Format-Preserving Encryption to encrypt a counter. Your counter just goes from 0 upwards, and the encryption uses a key of your choice to turn it into a seemingly random value of whatever radix and width you want. E.g. for the example in this question: radix 10, width 3.

Block ciphers normally have a fixed block size of e.g. 64 or 128 bits. But Format-Preserving Encryption allows you to take a standard cipher like AES and make a smaller-width cipher, of whatever radix and width you want, with an algorithm which is still cryptographically robust.

It is guaranteed to never have collisions (because cryptographic algorithms create a 1:1 mapping). It is also reversible (a 2-way mapping), so you can take the resulting number and get back to the counter value you started with.

This technique doesn't need memory to store a shuffled array etc, which can be an advantage on systems with limited memory.

AES-FFX is one proposed standard method to achieve this. I've experimented with some basic Python code which is based on the AES-FFX idea, although not fully conformant--see Python code here. It can e.g. encrypt a counter to a random-looking 7-digit decimal number, or a 16-bit number. Here is an example of radix 10, width 3 (to give a number between 0 and 999 inclusive) as the question stated:

000   733
001   374
002   882
003   684
004   593
005   578
006   233
007   811
008   072
009   337
010   119
011   103
012   797
013   257
014   932
015   433
...   ...

To get different non-repeating pseudo-random sequences, change the encryption key. Each encryption key produces a different non-repeating pseudo-random sequence.