Steve Whitaker asks via Twitter:
Searing a steak is a vital part of steak cookery, but there's a little folklore surrounding it. So, to get the foolishness out of the way, searing a steak does not "seal in the juices." I've said it before, and I'll likely say it again, but as long as people believe that nonsense, the truth must be spread.
Searing a steak will actually do the opposite of sealing in juices. Applying a high heat to the steak will disrupt the bundles of fibers near the outside of the steak, causing it to lose water. After all, this is a piece of meat, not a piece of plastic, so it's not just going to melt back into an unmarred surface. But, you know what? You want to lose that water.
Wait, what? Yes, that's right, you want to lose the water. Not all of it, of course. You want to lose the water on the outside of the steak. Water is a great substance with many useful properties for cooking, geology, life, and, oh, everything. But one thing that water isn't is tasty. So when you sear the outside of the steak, you clear away a thin layer of water, and you leave all of the proteins and amino acids and salt and similar that will give you flavor. And don't worry, you're not going to make a dry steak. You're only taking away a little of the water, and you're going to rest the steak properly to keep from losing all of the water on the inside.
Aside from just increasing the flavor-to-surface ratio, removing the outer layer of water allows the temperature of the surface of the steak to get hotter than the boiling point of water, which allows you to brown the outside of the steak with the Mailliard reactions. And that's what you're thinking of when you think of a sear: the lovely, brown, delicious crust on the outside of the steak.
For extra technique, I'm going to refer you to Jaden Hair of Steamy Kitchen. Aside from just being someone you should pay attention to in general, she wrote this great guide to cooking a steak. Read it, follow what she has to say, and say "Hi," from me.