Initial leads for drug development often originate from high-throughput screening (HTS), where hundreds of thousands of compounds are tested for biological activity. As the number of both targets for screening and compounds available for screening increase, there is a need to consider methods for making this process more efficient. One approach is to screen sequentially, whereby a relatively small set of compounds is assayed and the results are statistically analyzed to produce a mathematical model. The model is used to predict activity and select additional compounds for screening. The new compound bioassay results are added to the results for the initial set and a new model is determined. The process iterates. The focus of this review is on how to select the initial screening set (ISS). It is presumed that the size and quality of the initial set will affect the subsequent model building and, hence, the efficiency of finding active compounds.