The current System.Random class only returns linearly distributed random numbers. There are several mathematical problems that require Gaussian distributions of random numbers, and a there does not appear to be support for this in the .NET BCL.
I suggest adding System.Random.NextGaussian():double to the BCL. Other framework libraries have such a feature, including Python and Java:
The correct implementation of such a function is non-trivial, though it's behaviour is easily described.