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Use Adaptive Monte Carlo in n Dimensions
Mathematica 6 provides state-of-the-art adaptive Monte Carlo integration in any number of dimensions.
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Click for copyable input
ListPlot[Reap[

   NIntegrate[

    Exp[-((x - 2 \[Pi])^2 + (y - \[Pi])^2)], {x, -15, 15}, {y, -15, 

     15}, Method -> "AdaptiveMonteCarlo", 

    EvaluationMonitor :> Sow[{x, y}]]][[2, 1]], 

 PlotRange -> {{-15, 15}, {-15, 15}}, AspectRatio -> 1]
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