P011 The Lottery Game

I like this puzzle because the engineering answer differs from the scientific one.

There are n envelopes in a bag. Exactly one envelope contains a 1000 Dollar (currency) note, the rest are empty. Two players take turns, randomly taking out one envelope at each turn. The lucky player who draws the envelope with the currency note wins.

The question is: Given a choice of going first or second, what would you choose?