It's really a personal opinion, what you like best may be different than what I like. My fav is Fillet Mignon med rare, grilled on charcoal, seasoned with salt and pepper. The Costco here always has some great cuts and I prefer the Choice rather than Prime in this cut.
I bring the meat to room temperature, rub salt and pepper into all sides, make sure the grill is HOT so that when you put the steak on the grill it sears. The cuts I get are usually about 2" thick and I grill for 5 minutes, then flip, 5 minutes then rotate 90 degrees and flip cook again 3-4 minutes, repeat. On the last side I start thumping the steaks until they have about the same consistency as the palm of my hand at the base of my thumb.
Better to undercook a little; you can always microwave for a few seconds or put them in the oven if they're too rare.