It really depends on my mood - it can be either a creamy blue cheese sauce, or plain old A1 steak sauce, or something like a compound butter melted over the steak or even something like TGI Friday's Jack Daniels marinade sauce. One that I really enjoyed in particular was a blue cheese mousse that was served along side a bone in filet mignon at a steakhouse in Chicago several years ago. Unfortunately the restaurant was super expensive, and the mousse itself was $8 in addition to the cost of the steak - but I would love to learn how to make something like that at home.
Compound butters are really easy to make on your own, and great to have on hand to top off a steak fresh from the grill, so it melts all over it, and gives it some added savoriness and decadence. All you do is finely chop up some fresh herbs such as parsley and chives, along with some garlic an onion, or just some shallot, and season the butter with salt and pepper - mix it all together and form it into a log on some wax paper. Then wrap it up well, so it doesn't absorb other flavors from your fridge and let it chill until it's solid again. Then you just slice a little off as you need it.
Even though TGI Friday's isn't exactly the best place to go to order a steak, I do still love their Jack Daniels sauce and would really love to learn how to make that at home. I'm rather surprised more high end steak houses haven't come up with something comparable.