I had this as an interview question once.
Here is an algorithm that is O(N)
Use a hash table. Sequentially store pointers to the numbers, where the hash key is computed from the number value. Once you have a collision, you have found your duplicate.
Author Edit:
Below, @Phimuemue makes the excellent point that 4-byte integers have a fixed bound before a collision is guaranteed; that is 2^32, or approx. 4 GB. When considered in the conversation accompanying this answer, worst-case memory consumption by this algorithm is dramatically reduced.
Furthermore, using the bit array as described below can reduce memory consumption to 1/8th, 512mb. On many machines, this computation is now possible without considering either a persistent hash, or the less-performant sort-first strategy.
Now, longer numbers or double-precision numbers are less-effective scenarios for the bit array strategy.
Phimuemue Edit:
Of course one needs to take a bit "special" hash table:
Take a hashtable consisting of 2^32 bits. Since the question asks about 4-byte-integers, there are at most 2^32 different of them, i.e. one bit for each number. 2^32 bit = 512mb.
So now one has just to determine the location of the corresponding bit in the hashmap and set it. If one encounters a bit which already is set, the number occured in the sequence already.