"Which" implies a contextually indentifiable set, and hence is said to be "selective", whereas "what" doesn't and is said to be non-selective.
For example, if I go up to an ice-cream vendor and ask "What cones have you got?". He may then reply "We've got vanilla, strawberry, lemon and chocolate; which one would you like?" I have to choose from an identifiable set of just those flavours.
Another example: Suppose it was your birthday, and I ask you, "What gift would you like from me?", to which you reply, "I'd like a romantic DVD". So we go into a video store and I ask the sales assistant "What romantic DVDs do you have?". The store has thousands of DVD's available, but he then directs us to a particular shelf where only the romantic DVDs are on display. I would then ask you, "Which one would you like?" You would then have to choose from an identifiable set of just the romantic DVD's on that particular shelf.