I use the cast iron method in the winter and the BBQ in the summer...I never use oil on it until its cooked then I only add a little butter to the top of it for flavor along with garlic, salt, and fresh cracked pepper...mushrooms when I have them....

You need a good piece of meat... that is critical. Look for evenly marbled steaks

http://www.foodsubs.com/MeatBeefLoin.html has a great article...

Alton Brown from food network has a great show on how to use a cast iron skillet for a steak. Never use a fork to cook your steak because you don't want to pierce it and looks its juice...