Grind your own meat for burgers
Buy quality meat (read prime or dry aged to the tune of 25-28 days) this makes all the difference in the world. Even those of you who like things *gasp* well done. These steaks will still be tender.
Buy a grill with a real searing unit (I just ordered mine!) for a very high heat to lock in jucies
I've also been smoking a ton of stuff on the grill lately (whole turkey, pork, chicken. Going to do ribs this weekend). The key to this is the dry rub, wood chips and using indirect heat.