We consider the following sequential allocation process. A benevolent central authority has to allocate a set of indivisible goods to a set of agents whose preferences it is totally ignorant of. We consider the process of allocating objects one after the other by designating an agent and asking her to pick one of the objects among those that remain. The problem consists in choosing the "best" sequence of agents, according to some optimality criterion. We assume that agents have additive preferences over objects. The choice of an optimality criterion depends on three parameters: how utilities of objects are related to their ranking in an agent's preference relation; how the preferences of different agents are correlated; and how social welfare is defined from the agents' utilities. We address the computation of a sequence maximizing expected social welfare under several assumptions. We also address strategical issues.