Is it better to fry or grill a steak?
Generally speaking, frying gives a better crust due to the higher direct heat producing more Maillard flavours. A good, heavy, screaming hot pan is required. Oil the steak, not the pan, with vegetable or groundnut oil (olive oil will burn), and baste with butter towards the end for extra flavour.

If your steak is thick, you might try a reverse sear - roast the steak at about 150°C until the centre is 10°C off your desired doneness level (if you don't have a digital probe thermometer, invest the small amount they cost, it is completely worth it), then sear the outside on your mega hot pan. This avoids you having to overdo the outside just to get the inside right.