The Wigner thermal density is a function of considerable interest in the area of approximate (linearized or semiclassical) quantum dynamics where it is employed to generate initial conditions for the propagation of appropriate sets of classical trajectories. In this paper, we propose an original approach to compute the Wigner density based on a generalized Langevin equation. The stochastic dynamics is nontrivial in that it contains a coordinate-dependent friction coefficient and a generalized force that couples momenta and coordinates. These quantities are, in general, not known analytically and have to be estimated via auxiliary calculations. The performance of the new sampling scheme is tested on standard model systems with highly nonclassical features such as relevant zero point energy effects, correlation between momenta and coordinates, and negative parts of the Wigner density. In its current brute force implementation, the algorithm, whose convergence can be systematically checked, is accurate and has only limited overhead compared to schemes with similar characteristics. We briefly discuss potential ways to further improve its numerical efficiency.