Depends on what cut and where I am. If DH grills, he uses a seasoning mix and no dipping sauce.
At TGIFriday's, Jack Daniel's sauce. Yummm. The once place we can get the kids to agree to go to for restaurant night that doesn't involve a happy meal.
I usually marinate mine in something similar to McCormick's Montreal Steak seasoning (which is basically salt and some garlic and pepper) and then maybe add a bit of pepper to taste. But that's it.
A1 sauce is the choice at my house for DD and me if the steak is broiled or grilled on the gas grill. If we are cooking over the campfire, then we use barbecue sauce while it is cooking. That is DD's absolute favorite!