SU(N) Yang-Mills integrals form a new class of matrix models which, in thei
r maximally supersymmetric version, are relevant to recent non-perturbative
definitions of 10-dimensional IIB superstring theory and 11-dimensional M-
theory. We demonstrate how Monte Carlo methods may be used to establish imp
ortant properties of these models. In particular, we consider the partition
functions as well as the matrix eigenvalue distributions. For the latter w
e derive a number of new exact results for SU(2). We also report preliminar
y computations of Wilson loops.