One speedy way is to use the Sieve of Eratosthenes.
It's speedy if you want all primes below a certain number, or if you need to determine primality of "a lot of" numbers, but it isn't for checking a single number.
Checking all the possible divisors can be done in O(√N) (throw in a factor of O(log n) to do the division if you have really big numbers). However, just initializing the sieve will take you Ω(N) time. And then you still have to do the work: Ω(N/pi) for the ith prime.
The fastest way is probably just to use bigprimes.net, which has the first 1.4 billion primes on file.