Alton Brown (aka Jesus Christ of Culinary Stuff) suggests the following:
Buy some steak (he likes Rib Eye I believe, Sirloin is also good, as is Porterhouse). When buying steak the more white stuff there is (fat) the juicier it will be. First thing you should do when you get it home is stick it straight in the fridge, the coldest part of the fridge, keep it fresh. Steak is spendy.
When you are ready to cook:
Rub lots of kosher salt and lots of fresh ground pepper onto the steak. No marinades. Just good ol' salt and pepper.
Heat the oven up to like 500F, while you are doing that put a cast iron skillet onto high heat on the stove, get that sucker really nice and hot. When it is ready put a little bit of canola oil in (canola oil has a high smoke temp), then put the steak on skillet for like 30-40 seconds to get a nice crust, then flip the steak over and do the other side just the same.
After that put the skillet into the over (careful, the handle on the skillet will be really fucking hot), put it in the over for about 3-4 minutes on the first side, then flip and 3-4 more minutes on the other side. Take it out and check the internal temp with a probe thermomter (140F is medium-rare I believe, 150F is medium, etc.). Then put it on a plate but make it so the steak is above the surface of the plate so the juices can run off and not fuck up the crust of the steak (what you did on the stove), let it sit for 3 minutes, don't touch it.
After 3 minutes cut that fucker up and eat.
I have tried this and it makes a damn good piece of meat, mmmmmmmm steak . . . .
P.S. The previous information is mostly from the Good Eats episode "Steak your Claim" which I have, I can transfer over something if you want.