I have previously mentioned the DigiCert CSR utility and how I generate CSRs via it and also export the private key. Today I came across a site from NameCheap that does CSR generation and also key conversion etc. Nice one! Also worth reading this article from them on extracting private keys.
For completeness sake here’s how to do the same via OpenSSL.
[Aside] NameCheap CSR generator by rakhesh is licensed under a Creative Commons Attribution 4.0 International License.