Short answer - no. You would not use a comma in the following examples, though MS might advise you to do so:
Do you know which one you want?
I'll let John choose which one to have.
He always knew which cafe had the best food.
As a basic rule, if you can remove the which clause and still have a complete sentence (tchrist's example 4) then it would be best to enclose it in commas.
However, you have to be sure of the meaning you are trying to convey - context is everything. For example:
The chairs, which I had painted blue, were very comfortable. [The
chairs were very comfortable. I had painted them blue.]
The chairs which I had painted blue were very comfortable. [As opposed
to some other chairs, which were not very comfortable.]