Nvidia Cuda and AMD APP SDK's contain sample code which may help you get started. I've successfully carried out some work on this in the past, and the performance benefits were about 32x for a simple implementation.
Some of the references listed here may be beneficial, although this was written when GPGPU computing with OpenCL was still in its infancy. There are also some performance metrics compared to CPU.
For sheer speed in pseudo-random number generation you can take a look at the Mersenne Twister for GPU's (MTGP). This implementation exists solely in CUDA, but it may be an easier foray into the use of GPU's than via OpenCL. AMD's SDK Monte Carlo sample contains a variant of the algorithm, so you are not tied to using solely Cuda. It would be best to decide on your requirements first, then choose the most appropriate language to carry out your task.
You could consider using these in their own right, or connecting with MATLAB via the MEX file interface.