God Bless Sam's Club and COSTCO for their $8/lb. tenderloin.
Coat them in Char-Crust's "Original Hickory" rub, let them rise to room temperature and throw them on a hot charcoal grill, turn only once.
www.charcrust.com in case your local grocery doesn't carry it. You'll recognize it in your grocery's rub section because the packaging is like a pint milk carton.
In the Winter get a Cuisinart "Griddler" and cook on "sear". (This rig is a superior knock-off of the "Foreman Grill" - $129 and worth every cent).
This six buck hunk of meat is 90% as good as a $45 12 oz. filet at Morton's! (That said, ambiance can well be worth the money: in my single days whenever I treated a lovely women to a dinner at The Prime Rib on K St., WDC., "dessert" was always a certainty).
Here's some additional info on Prime vs. Choice tenderloin:
"A filet mignon trades off intensity of flavor for tenderness. Steakhouses love diners who order filets because, despite its reputation for being costly, it is the most profitable cut on the menu. Cut from a muscle that is underexercised, and the least marbled cut among premium steaks, it requires no dry-aging to make it tender; a less-expensive USDA Choice filet is as tender as a USDA Prime filet, so many steakhouses feel there's no need to offer the more expensive grade". Copied from: http://www.washingtonian.com/articles/diningguides/2804.html
Sam's/COSTCO's filet is USDA Choice.