Until now, I've been using sieve of Eratosthenes for generating all 'n' prime numbers.
However, I was wondering does there exist a better algorithm, or can we improve an existing one which performs better ??
For sufficiently large N (e.g. more than a million or so), the best algorithm is to use an approximation (e.g. Logarithmic Integral or Riemann's R function), then use a fast prime count method such as LMO, then sieve the small remainder. This is many orders of magnitude faster than sieving.
There are at least two open source implementations.
The latter has progressed past the first, and is also multithreaded.
Add: Will Ness has also pointed out a nice post from Daniel Fischer that provides a walkthrough of different ways to solve this: Calculating and printing the nth prime number