In this case, they necessarily become less random with each one that you generate. In other words, once you have generated 999,999 of them, you know what the next one must be.
You might be better off just shuffling the numbers 0 to 999,999. The reason I say so is that the more numbers you have already generated the harder it is going to be to find one that you haven't yet generated and the longer it will take. It simply isn't very efficient to generate a number, check to see if you have generated it before, and generate a new number if you have.
-sauoq
"My two cents aren't worth a dime.";