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This paper investigates the optimal sensing order problem in multi-channel cognitive medium access control with opportunistic transmissions. The scenario in which the availability probability of each channel is known is considered first. In this case, when the potential channels are identical (except for the availability probabilities) and independent, it is shown that, although the intuitive sensing order (i.e., descending order of the channel availability probabilities) is optimal when adaptive modulation is not used, it does not lead to optimality in general with adaptive modulation. Thus, a dynamic programming approach to the search for an optimal sensing order with adaptive modulation is presented. For some special cases, it is proved that a simple optimal sensing order does exist. More complex scenarios are then considered, e.g., in which the availability probability of each channel is unknown. Optimal strategies are developed to address the challenges created by this additional uncertainty. Finally, a scheme is developed to address the issue of sensing errors.