The yield keyword is merely syntactic sugar. This class demonstrates what is generated under the hood when you use yield return.

gistfile1.txt

public class Program
{
    private static readonly Random _random = new Random();

    private static void Main()
    {
        foreach (int randomNumber in GetRandomNumbers(10))
            Console.WriteLine(randomNumber);

        Console.ReadKey();
    }

    private static IEnumerable<int> GetRandomNumbers(int count)
    {
        var ret = new RandomNumbersEnumerator();
        ret.Count = 10;
        return ret;
    }

    #region Nested type: RandomNumbersEnumerator

    public class RandomNumbersEnumerator : IEnumerable<int>, IEnumerator<int>
    {
        public int Count;
        public int Index;
        private int _current;
        private int _state;

        #region Implementation of IEnumerable

            public IEnumerator<int> GetEnumerator()
            {
                return this;
            }

            IEnumerator IEnumerable.GetEnumerator()
            {
                return GetEnumerator();
            }

            #endregion

        #region Implementation of IDisposable

            public void Dispose()
            {
            }

            #endregion

        #region Implementation of IEnumerator

            public int Current
            {
                get { return _current; }
            }

            object IEnumerator.Current
            {
                get { return Current; }
            }

            public bool MoveNext()
            {
                switch (_state)
                {
                    case 0:
                    {
                        Index = 0;
                        goto case 1;
                    }
                    case 1:
                    {
                        _state = 1;
                        if (Index == Count)
                            return false;

                        _current = _random.Next();
                        _state = 2;
                        return true;
                    }
                    case 2:
                    {
                        Index++;
                        goto case 1;
                    }
                }
                return false;
            }

            public void Reset()
            {
                throw new NotImplementedException();
            }

            #endregion
    }

    #endregion
}