I've had this issue with crappy supermarket scallops before. Alton Brown covered this. From http://www.goodeatsfanpage.com/Season9/scallops/scallop_trans.htm (section 5):
dry scallops are usually ivory, or
slightly pink, or even orange in
color, not white. Of course, they
don't actually look dry. The term
refers to the fact that these lovely
lozenges have not been soaked in any
kind of chemical, say, sodium
tripolyphosphate. This solution is
used to help scallops retain moisture
when frozen. Now there's nothing wrong
with that per se, unless the scallop
in question is not going to be frozen.
You see, treating fresh scallops with
S.T.P. causes them to gain moisture,
making them heavier, which could be a
good thing for a retailer, but it's
never good for a cook. Because once
this stuff is inside the scallop, they
become very difficult to cook
properly, and they are impossible to
Diver scallops are probably good. Look for a bit of color when buying. The good news is that you probably aren't doing anything wrong, the scallops just aren't going to sear.
When you buy for searing, get scallops that haven't been treated with chemicals. Diver scallops are almost always untreated. Look for a bit of color, which is usually a sign of quality. Don't buy them if they are in a pool of milky liquid (as they usually are in the fish section of the supermarket). Buying diver scallops is also much more sustainable and eco-friendly, since large ships that freeze their stock at sea dredge the floor to get scallops. Divers are much more selective and do negligible damage to the ocean floor.