MathDotNet should have the functions you are looking for, although it may be a bit of overkill depending on how much functionality you need.
It offers:
- Bernoulli
- Beta
- Binomial
- Categorical
- Cauchy
- Chi
- Chi Square
- Continuous Uniform
- Conway Maxwell Poisson
- Dirichlet
- Discrete Uniform
- Erlang
- Exponential
- etc…. (about 3x more on the list)
For a complete list see this page.