System.Random's Next() method isn't guaranteed to be thread-safe, so if you start calling it from multiple threads at the same time, you're likely to end up with very little entropy indeed! I cooked up a static class, with a static System.Random field, and set 4 threads in motion calling Next() continuously. Each thread got its own core to run on, and very soon the only "random" number returned from Next() was 0.0 - the object had been well and truly corrupted. At this point I needed to choose: a single System.Random protected by lock() statements, or multiple System.Random objects. If I chose the single route (why?) all the synchronization would slow me down, and I'd end up not using each core to its fullest potential. If I chose the multiple route (only as many System.Random objects as there were threads), I would need to seed each one with a different value, otherwise they could - if created at the same time - return the same series across more than one System.Random object.
Interestingly, if I called the overloaded version of Next(int min, int max), soon the only return values would be min.