  In some scenarios there are ways of conveying information with many fewer,
even exponentially fewer, qubits than possible classically. Moreover, some of
these methods have a very simple structure--they involve only few message
exchanges between the communicating parties. It is therefore natural to ask
whether every classical protocol may be transformed to a ``simpler'' quantum
protocol--one that has similar efficiency, but uses fewer message exchanges.
  We show that for any constant k, there is a problem such that its k+1 message
classical communication complexity is exponentially smaller than its k message
quantum communication complexity. This, in particular, proves a round hierarchy
theorem for quantum communication complexity, and implies, via a simple
reduction, an Omega(N^{1/k}) lower bound for k message quantum protocols for
Set Disjointness for constant k.
  Enroute, we prove information-theoretic lemmas, and define a related measure
of correlation, the informational distance, that we believe may be of
significance in other contexts as well.
