The paper is devoted to the further study of the remarkable classes of orthogonal polynomials recently discovered by Bender and Dunne. We show that these polynomials can be generated by solutions of arbitrary quasi - exactly solvable problems of quantum mechanichs both one-dimensional and multi-dimensional. A general and model-independent method for building and studying Bender-Dunne polynomials is proposed. The method enables one to compute the weight functions for the polynomials and shows that they are the orthogonal polynomials in a discrete variable $E_k$ which takes its values in the set of exactly computable energy levels of the corresponding quasi-exactly solvable model. It is also demonstrated that in an important particular case, the Bender-Dunne polynomials exactly coincide with orthogonal polynomials appearing in Lanczos tridiagonalization procedure.
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