Create Random Number Sequence with No Repeats

You may be interested in a linear feedback shift register. We used to build these out of hardware, but I've also done them in software. It uses a shift register with some of the bits xor'ed and fed back to the input, and if you pick just the right "taps" you can get a sequence that's as long as the register size. That is, a 16-bit lfsr can produce a sequence 65535 long with no repeats. It's statistically random but of course eminently repeatable. Also, if it's done wrong, you can get some embarrassingly short sequences. If you look up the lfsr, you will find examples of how to construct them properly (which is to say, "maximal length").

A shuffle is a perfectly good way to do this (provided you do not introduce a bias using the naive algorithm). See Fisher-Yates shuffle.

In order to ensure that the list doesn't repeat, it would have to keep a list of numbers previously returned. As it has to therefore generate the entire list by the end of the algorithm, this is equivalent in storage requirement to generating the ordered list and then shuffling.

More about shuffling here: Creating a random ordered list from an ordered list

However, if the range of the random numbers is very large but the quantity of numbers required is small (you've hinted that this is the actual requirement in a comment), then generate a complete list and shuffling it is wasteful. A shuffle on a huge array involves accessing pages of virtual memory in a way that (by definition) will defeat the OS's paging system (on a smaller scale the same problem would occur with the CPU's memory cache).

In this case, searching the list-so-far will be much more efficient. So the ideal would be to use heuristics (determined by experiment) to pick the right implementation for the given arguments. (Apologies for giving examples in C# rather than C++ but ASFAC++B I'm training myself to think in C#).

IEnumerable<int> GenerateRandomNumbers(int range, int quantity)
{
    int[] a = new int[quantity];

    if (range < Threshold)
    {
        for (int n = 0; n < range; n++)
            a[n] = n;

        Shuffle(a);
    }
    else
    {
        HashSet<int> used = new HashSet<int>();

        for (int n = 0; n < quantity; n++)
        {
            int r = Random(range);

             while (!used.Add(r))
                 r = Random(range);

             a[n] = r;
        }
    }

    return a;
}

The cost of doing the checking for repeated numbers, the looping while there are collisions, etc. will be expensive, but there will likely be some Threshold value where it becomes faster than allocating for the entire range.

For sufficiently small quantity requirements, it may be faster to use an array for used and do linear searches in it, due to the greater locality, lower overhead, the cheapness of the comparison...

Also for large quantities AND large ranges, it might be preferable to return an object that produces the numbers in the sequence on request, instead of allocating the array for the results upfront. This is very easy to implement in C# thanks to the yield return keyword:

IEnumerable<int> ForLargeQuantityAndRange(int quantity, int range)
{
    for (int n = 0; n < quantity; n++)
    {
        int r = Random(range);

        while (!used.Add(r))
            r = Random(range);

        yield return r;
    }
}

If a random number is guaranteed to never repeat it is no longer random and the amount of randomness decreases as the numbers are generated (after nine numbers random(10) is rather predictable and even after only eight you have a 50-50 chance).

I understand tou don't want a shuffle for large ranges, since you'd have to store the whole list to do so.

Instead, use a reversible pseudo-random hash. Then feed in the values 0 1 2 3 4 5 6 etc in turn.

There are infinite numbers of hashes like this. They're not too hard to generate if they're restricted to a power of 2, but any base can be used.

Here's one that would work for example if you wanted to go through all 2^32 32 bit values. It's easiest to write because the implicit mod 2^32 of integer math works to your advantage in this case.

unsigned int reversableHash(unsigned int x)
{
   x*=0xDEADBEEF;
   x=x^(x>>17);
   x*=0x01234567;
   x+=0x88776655;
   x=x^(x>>4);
   x=x^(x>>9);
   x*=0x91827363;
   x=x^(x>>7);
   x=x^(x>>11);
   x=x^(x>>20);
   x*=0x77773333;
   return x;
}