We investigate, both theoretically and experimentally, self-trapping of light beams in nematic liquid crystals arranged so as to exhibit the optical Fréedericksz transition in planar cells. The resulting threshold in the nonlinear reorientational response supports a bistable behavior between diffracting and self-localized beam states, leading to the appearance of a hysteretic loop versus input excitation. Our results confirm the role of nematic liquid crystals in the study of non-perturbative nonlinear photonics.