This is another recipe of ours that comes courtesy of Alton Brown. In case you don't watch the food network, he is pretty awesome.
The original recipe calls for rib eye steak, but we have used filet, strip, and T-bone all with great results. I think the most important part is the thickness of the steak. You definitely want it to be 1 1/2"-2" thick.
Get your steak(s) out of the refrigerator and let them come up to room temperature. Also turn on the oven to 500 degrees Fahrenheit and place a dry cast iron skillet in the oven to heat.