In this thread, Lorenzo notes that steaks may end up raw in the center if you only leave 'em out for 10-15 minutes to come up to temperature. I recommend 30 mins, but it will probably vary on what room temperature actually is for you.
From Weber's Way To Grill, which recommends salting right when you take them out of the fridge, here's Mr. Purviance's take on why you should consider salting early:
It's true that salt draws moisture toward itself, but over the course of 20 to 30 minutes that's a good thing, because the salt begins to dissolve into that little bit of moisture. When the steak hits the hot grate... [you] create a delicious crust. Any moisture you might lose is well worth the flavor of that crust.
The most important thing you can do is buy quality beef. You can throw a USDA Select steak on a 700 degree charcoal grill, cook it perfectly, and it'll still be tough and not at all what you'd get at a fine steakhouse.
In the USA there are three grades of beef available to a consumer: Select, Choice, and Prime. There are lesser grades but they go to fast food joints, prisons, military personnel, and miscellaneous other weird uses.
In most american supermarkets you will find only select, period. This is an "average" steak. It's typically devoid of marbling, and results in a rather flavorless tough steak.
To find choice steaks you have to go to a higher end supermarket, e.g. Whole Foods You will pay significantly more for a choice steak, but the difference is marked. The marbling will result in a tenderer steak due to the internal fat melting and tenderizing the steak.
Finally, prime cuts. These are very hard to come by in any supermarket unless you live in a bigger city. You typically have to go to a specialty shop or butcher for these. Less than 2% of all beef is classified as prime. On top of this, restaurants get first pick. So even if you do buy a great prime steak, you are likely getting the lower end of the prime spectrum. However, the difference is amazing. The marbling is more intense, more evenly distributed and when cooked properly results in a steak that melts under your knife.
Another one-up a fine steakhouse has on you is they age their beef. Any steak you buy in the grocery store is minimally wet aged. The finest steakhouses dry age their beef. The difference? Wet aging consists of simply vacuum packing the meat (as in a whole side of cow) and refrigerating it for about a week. After that, it's cut smaller and sold to stores. Dry aging is a more complicated and expensive process. Dry aged beef is hung for at least two weeks in a refrigerator. Moisture in the meat is allowed to escape and evaporate, which concentrates the beef flavor of the beef. The beef also grows a moldy rind which is cut off and thrown away. After the aging is complete you're left with 75-80% of the meat you started with. This commands a premium price.
Unfortunately, you can't dry age a steak in your home. There are some refrigerator aging processes that you'll find on this site and others, but they aren't a true comparison.
Another variation that has become more popular is grass-fed beef. This has become a recent fad, at least in the USA. Cattle are traditionally fed corn which makes them fatter and "juicier", but it also leaves the meat tasting very bland. Likely, if you live in the USA, every steak you've ever had was corn-fed. Grass-fed beef on the other hand is fed predominantly grass, they're allowed to graze as cows should. This is good for the cows, because they don't actually eat corn. A cow is made to eat grass. Corn is rather harsh on their digestive system, but they are given no other choice. In the wild a cow would never eat corn. The end result is a very different flavored steak. Grass-fed beef has a much richer, meatier flavor. However, it's also tougher than corn-fed beef. For this reason a steak you will be served in a fine steakhouse is likely not to be grass-fed unless it is specifically designated as such.
With all that out of the way I suggest doing what I do. When I feel like an amazing home cooked steak, I'll splurge on a nice choice ribeye, dip it in a mixture of melted clarified butter and oil, season liberally with salt and pepper, and pan fry it.
Best Answer
You should be able to get a reasonable steak stovetop using a cast iron grill pan, if you have a strong enough exhaust. Oil the cast iron pan (with canola or such), then heat it very hot, until it starts to smoke. Make sure the meat is completely dry on the outside (wipe with a paper towel, water will prevent browning) and gently place in the pan. Leave it there for a minute or two (it'll smoke quite a bit!), rotate 90° to get the nice grill marks. Leave for another minute or two. Flip, and repeat for the other side.
It may splatter, have a splatter screen handy. It will smoke, quite a bit, make sure the exhaust is on high.
You will probably have a medium-rare steak now. Using a thinner cut will make it more well done (you can cut a thick steak in half with your chef's knife, making two thin steaks); so will plopping it in the oven (not sure if you want the oven before or after searing, I like 'em medium rare...).
Remember to let the meat rest for 5 minutes or so before serving.
Also, if your steaks are coming out ridiculously tough, you're probably using the wrong cut of meat, or some terrible grade. What cut are you using?
[edit: I should note that, in case it wasn't obvious, the burner should be up pretty high]
Edit by rumtscho There is a reason this answer specifies a cast iron pan. If you are limited in your cookware choice, pay attention to the maximum temperature your pan can tolerate. If you are using a non-stick pan, you have to go on medium heat and wait longer, else you'll damage the pan. (And sorry, but you can't get it as tasty as on high heat that way).