As KYH said, there is a big difference between grilling and pan frying. Unless the 'grill' you are talking about is the flat top in a restaurant kitchen, in which case it is basically the same as pan frying.
I prefer all my steaks be cooked over rocket hot coals on a grill, or a barbecue as some may call it. But I don't always feel like starting a fire and waiting. A good pan seared steak is different than grilled - not necessarily better, not necessarily worse, just different. And with a pan sear, you get the benefit of the fond to make a sauce.
Either way I usually lightly oil the meat and then season minimally, usually just salt, pepper and possibly garlic. Sometimes a beef rub if I'm in the mood for such. A little, and I do mean a little, Spanish pimenton or smoked paprika is a nice touch.
Two of my all time favorite sauces for beef grilled rare are bearnaise and chimichurra. The first is a fairly heavy but heavenly butter based sauce from the French tradition. The second is a South American concoction, with variants from country to country but is basically olive oil, crushed garlic and fresh, fragrant herbs like cilantro. I imagine a web search would turn up quite a number of recipes.
In truth, though, when I do a pan seared steak it usually is topped with some sort of mushroom, butter and wine pan reduction.