We consider algorithms with access to an unknown matrix M in F^{n x d} via matrix-vector products, namely, the algorithm chooses vectors v^1, ..., v^q, and observes Mv^1, ..., Mv^q. Here the v^i can be randomized as well as chosen adaptively as a function of Mv^1, ..., Mv^{i-1}. Motivated by applications of sketching in distributed computation, linear algebra, and streaming models, as well as connections to areas such as communication complexity and property testing, we initiate the study of the number q of queries needed to solve various fundamental problems. We study problems in three broad categories, including linear algebra, statistics problems, and graph problems. For example, we consider the number of queries required to approximate ...