what frequency range are you taliking about?
One way of doing it would be to use DAC and VCO. You can get a microcontroller with DAC onchip, you either build a VCO or buy ready made one.
i used a PLL chip with an RF VCO to generate very accurate stable high frequency generator which can be programmed serially.
I cant remember the part number exactly but it was something like LM2350 frequency synthesizer chip bought it from DIGI-KEY corporation. www.digikey.com

Mahmood