Most people do not really think to ask this question about Evolution. However, it has become quite the important question in determining the validity of the paradigm. In this post when I refer to "evolution" I am referring to "macroevolution" (see my post "How Did It All Happen? Part 4- Evolution? Really?"). If I am talking about microevolution (see same post above), I will make the distinction.
As I discussed in the previously cited post, random mutation does happen, and natural selection does operate on those mutations. This observation has been extrapolated into the theory of Evolution. According to the paradigm life began as a single-cell organism, and through the process noted we arrive at the state of life today (complex, mega-multicellular organisms).