Devroye's encyclopedic tome on generating random numbers still stands as one of the few masterpieces on the subject. I consult it every time I need to generate random variables beyond the canned standards. Need correlated exponential r.v.s? Devroye gives you multiple methods -- and discusses their differences. Correlated beta r.v.s? That's there too. Brilliant. Unfortunately, the book is out-of-print; fortunately, the author has made the book freely downloadable from his home page.