The Story
Before baking a roast or grilling a steak, you should sear all outside surfaces of the meat.
Briefly raising the temperature of the outside of the meat to a high level cauterizes the flesh, sealing in the internal juices that would otherwise be lost during cooking.
Facts
Meat does not cauterize. After the meat is seared, internal juices can escape during cooking just as easily as if it had not been seared.
Even worse, the searing process itself releases juices that would not have escaped had it not been seared.
Searing itself is a good idea. The brief high heat causes a chemical reaction in the proteins (this is the Maillard reaction, not caramelization, which is for sugars). This reaction browns the meat and creates most of the flavours that make steaks and roasts taste so good. But it should be done after, not before, the main cooking process (be sure to dry the meat and oil it first, otherwise it will steam rather than sear). Searing at the end results in less juice loss during the searing, and a thinner layer of overcooked meat beneath the browned crust.
Why
The technique of searing to seal in juices has been taught for thousands of years. Everyone that was ever taught to cook was told this, and the concept is so obviously reasonable that no one thought to question it.
Unfortunately though, this myth simply isn't true, as a side-by-side test of weight and taste can easily demonstrate.