JS, 100 67 57
By xem and subzey
Execute this in the browser's console or nodeJS.
Short version: 57b. (it's very long to end: ~ 20 min)
for(i=1;1e6>++i;p&&console.log(i))for(p=j=i;j-->2;)p*=i%j
Faster version, 100b (ends in ~ 1 min)
p=[];for(i=2;1E6>i;i++)for(t=0,j=i;1E6>j;j+=i)t&&(p[j]=1),t=1;for(i=2;1E6>i;i++)p[i]||console.log(i)