High-quality random samples of quantum states are needed for a variety of tasks in quantum information and quantum computation. Searching the high-dimensional quantum state space for a global maximum of an objective function with many local maxima or evaluating an integral over a region in the quantum state space are but two exemplary applications of many. These tasks can only be performed reliably and efficiently with Monte Carlo methods, which involve good samplings of the parameter space in accordance with the relevant target distribution. We show how the standard strategies of rejection sampling, importance sampling, and Markov-chain sampling can be adapted to this context, where the samples must obey the constraints imposed by the positivity of the statistical operator. For illustration, we generate sample points in the probability space of qubits, qutrits, and qubit pairs, both for tomographically complete and incomplete measurements. We use these samples for various purposes: establish the marginal distribution of the purity; compute the fractional volume of separable two-qubit states; and calculate the size of regions with bounded likelihood.