Seems like building a Sudoku application is almost a compulsory thing for programmers these days.
I've written about my prior efforts. Here's an update. Rather than force you all to use the XBAP I published last year, here's a standalone WPF app. C# Source and EXE include.
It uses the DLX (Dancing Links) algorithm from Donald Knuth.
Pretty speedy. It is a WPF app, but there are no fancy WPF graphics. It just generates a table, and that's about it. This one is handy if you like to do Sudoku on paper. I've uses this app to generate and print out puzzles that I can do with my kids.