Python 3.x: 6266 chars
for k in range(2,10**6):
if all(k%f for f in range(2,k)):print(k)
More efficient solution: 87 chars
Based on the Sieve of Eratosthenes.
p=[];z=range(2,10**6)
while z:f=z[0];p+=[f];z=[k for k in z if k%f]
for k in p:print(k)