Here's a solution which remembers previous y values.
\documentclass{article}
\usepackage{tikz}
\usepackage{etoolbox}
\makeatletter
\def\ae@path{}
\newcommand{\Emmett}[6]{% points, advance, rand factor, options, end label
\def\ae@last@y{0}
\def\ae@initial@portion{\draw[#4] (0,0)}
\xdef\ae@path{\expandonce\ae@initial@portion}
\foreach \x in {1,...,749}
{
\pgfmathparse{rand*#3 + #2*(#6-\ae@last@y)/(#1-\x)}
\xdef\ae@last@y{\pgfmathresult}
\xdef\ae@path{\expandonce\ae@path -- ++(#2,\expandonce\ae@last@y)}
}
\ae@path node[right] {#5};
}
\makeatother
\begin{document}
\scalebox{0.5}{
\begin{tikzpicture}
\draw[help lines] (0,-5) grid (15,5);
\Emmett{750}{0.02}{0.2}{red}{first one}{2.0}
\Emmett{750}{0.02}{0.2}{green}{second one}{-1.0}
\Emmett{750}{0.02}{0.2}{blue}{third one}{-2.0}
\end{tikzpicture}
}
%\pgfmathsetseed{1337}
\end{document}

\typeout for debugging
Here for debugging purposes, you can see that they y's are being properly updated.
\documentclass{article}
\usepackage{tikz}
\usepackage{etoolbox}
\makeatletter
\def\ae@path{}
\newcommand{\Emmett}[6]{% points, advance, rand factor, options, end label
\def\ae@last@y{0}
\def\ae@initial@portion{\draw[#4] (0,0)}
\xdef\ae@path{\expandonce\ae@initial@portion}
\foreach \x [remember=\x as \lastx (initially 0)]in {1,...,749}
{
\typeout{==>--------------------------------------------------}%%
\typeout{==>(x=\x) ==> (old y=\ae@last@y)}%%
\pgfmathparse{rand*#3 + #2*(#6-\ae@last@y)/(#1-\x)}
\xdef\ae@last@y{\pgfmathresult}
\typeout{==>(x=\x) ==> (new y=\ae@last@y)}%%
\xdef\ae@path{\expandonce\ae@path -- ++(#2,\expandonce\ae@last@y)}
}
\ae@path node[right] {#5};
}
\makeatother
\begin{document}
\scalebox{0.5}{
\begin{tikzpicture}
\draw[help lines] (0,-5) grid (15,5);
\Emmett{750}{0.02}{0.2}{red}{first one}{2.0}
\Emmett{750}{0.02}{0.2}{green}{second one}{-1.0}
\Emmett{750}{0.02}{0.2}{blue}{third one}{-2.0}
\end{tikzpicture}
}
%\pgfmathsetseed{1337}
\end{document}
\lastxor\lasty? If all are\lastytry[remember=\x as \lasty (initially 0)]or define\lastybefore the loop as zero – percusse Apr 09 '14 at 15:18