Enrico Fermi in the 1930’s used Monte Carlo in the calculation of neutron diffusion. He would later design a Monte Carlo mechanical device used in calculating criticality in nuclear reactors. That device was called the Fermiac.John Louis von Neumann in the 1940’s established the mathematical basis for PDF’s, CDF’s, and pseudorandom number generators. The Monte Carlo method was used for these establishments.

Currently, Monte Carlo methods are used in cancer therapy, traffic flow, Dow-Jones forecasting, oil well exploration, and several physics applications. Examples of those applications include stellar evolution, reactor design, and quantum chromo-dynamics. In addition, Monte Carlo is used widely in modeling materials and chemicals.
Expanding on using Monte Carlo in cancer treatment, the U.S. Department of Energy’s Brookhaven National Laboratory has been conducting a trial of an experimental treatment called boron neutron capture therapy (BNCT). Studies have concluded that a BNCT neutron source engineering input deck could complete its calculation in 19.35 minutes using the ORNL Intel Paragon XPS-150 computer. On the other hand, this identical calculation required 4.7 days to execute on a DEC Alpha workstation at INEEL. Overall, the speed-up ratio was 350. This conclusion could prove to be significant in the use of MCNP code. Having the calculations finished in under an hour will be an important factor in cancer treatment, especially for the brain cancer glioblastoma multiforme.
http://www.csm.ornl.gov/ssi-expo/MChist.html