you shouldn't create a new instance every time you need one. If you create an instance without specifying a seed, it will use the current time as the seed - which means if you create several instances in quick succession, many of them will produce the same sequence of numbers. Typically you create a long-lasting instance of Random and reuse it.
It's not thread-safe. If you need to generate random numbers from multiple threads, you should think about having one instance per thread. Read this blog post for more information - but make sure you read the comments as well, as they have very useful information.