That white stuff is albumen, the same protein that makes the white of chicken eggs. The albumen is part of the salmon's blood, which means that your fillet was fresh. A trick for dealing with it was developed by Bruno Goussault while collaborating with chef Michel Richard from Citronelle in DC: soak the salmon pieces in an ice cold brine. The article in the New York Times that told the story recommends soaking the salmon fillets for ten minutes in a 10% brine (by weight). To make the brine, dissolve three tablespoons of Kosher salt for every cup of ice cold water and make as many cups as you need.
Unfortunately, searing doesn't actually lock in juices; in fact it's been shown to take out slightly more juice than just baking, most likely because the meat is exposed to a higher heat during the sear which causes more evaporation. You can read slightly more about it on the wiki for Searing and a lot more about it in this previous thread. In fact, when you hear the constant sizzle in the pan as you pan fry, that's juices coming out and onto the pan. You can verify this by searing one side, searing the other, then flipping it again - you'll see juices seeping out through the seared side.
However, you do still want to sear meats whenever possible. Through the Maillard reaction you'll get a much more complex flavor that can't be matched through baking alone.
Most likely, my guess is that you're baking the salmon too long which is causing it to dry out. Are you wrapping it in a pouch with some liquids when you cook it? That can help a lot if you're baking but isn't absolutely necessary by any means. With or without a pouch, make sure that you're serving it pretty much right after pulling it from the oven - it will continue to cook after you remove it, whether you use a pouch or not.
You can also try reducing the time and increasing the heat a little bit and see if that helps at all. You want to be sure to keep the skin on if possible - this contains a lot of fat, which will help keep from drying out. I generally bake with the skin-side up so the fat can render down through the fish as it bakes.
You can find a great Good Eats episode about pouch cooking on YouTube, the first part of the episode can be found here. I generally don't follow recipes for pouch cooking - once you get a feel for it you can eyeball it with what you have around - but a good start might be this recipe.
Poaching the fish after searing is another good technique, and very easy, but be careful - although it's not common sense, you can still dry things out by poaching. Some people think poaching is error-proof and will just throw food in water and leave it until they're ready to eat it - this will result in dry meat.
The best way to cook salmon is to grill it over a high heat. even better if you can get a cedar plank to put it on. Oil the fish (or the grill, your choice) lightly and cook it for a few minutes (4-6) on each side, depending on how thick the fish is. You can tell when it's done because it will be fully opaque and flake easily with a fork. Keep a watchful eye - once salmon is close to being done, it will become overdone fast, so you want to pull it from the heat as early as you can without undercooking it.
Best Answer
Sorry, I know that this is old, but I wanted to follow up with some related data.
Caveat: I'm not a scientist, but my dad was a biochemist who worked in the aquatic biology field for more than 50 years, and I picked up a few things.
In 2001, a multi-species study was done on several species of fish including two types of local salmonid trout - cutthroat trout (Oncorhynchus clarki) and kokanee (O. nerka) in a large freshwater lake in Washington State (Lake Whatcom). Both of these fish are morphologically similar to Steelhead Trout (O. mykiss) in its non-anadromous form (also known as rainbow trout).
What all this means is, these are good marker-species to use because they are a lot like steelhead.
In a nutshell - even though these fish were raised in the wild and ate whatever they could catch (insects, small crustaceans and the like), their mercury levels were lower than most commercially-caught fish.
The cutthroat trout showed a mean of 0.08mg/kg mercury and the kokanee showed a mean of 0.12mg/kg mercury. This is pretty low. The paper that I used for my research is here: Mercury in Sportfishes of Lake Whatcom, Washington, Including a Review of Potential Impacts to Aquatic Resources and People
Farmed steelhead/rainbow trout from the Columbia River and Washington and British Columbia coastal waters are very environmentally sound, having earned a "Best Choice" rating from Seafood Watch (https://www.seafoodwatch.org/seafood-recommendations/groups/trout?method=farmed&q=Trout,%20Farmed&t=farmed%20steelhead%20trout&type=rainbow&location=domestic&o=1327878260).
There are two sub-cultivars of this species - those that are raised in pens which are truly anadromous (i.e., they smolt, and spend half their lives in freshwater and the other half in saltwater), and those that are raised in raceways on one of the coastal river systems such as the Columbia, which are not anadromous and would technically be called rainbow rather than steelhead.
It is arguable that their flavor is not as strong in a salmon-y, fishy way as wild-caught fish. Those that are raised in pens are closer to wild-caught, because pens do not restrict the passing of small crustaceans and other species and thus allow the pen-raised fish to have a diet much closer to their natural one.
While I do prefer wild-caught fish for their flavor, I have often purchased and prepared locally-farmed steelhead.
I fundamentally have a problem with invasive-species that are farmed here in the Pacific Northwest (such as, for example, Atlantic Salmon). I do not have any issues with farmed steelehad, because it is a local species anyway and it seems to be a sustainable food source.
Lastly, here's a picture of some smoked steelhead I made in December of last year: