If you list the sauces you know, then maybe we can help you with something different 

Now i do love a Blue cheese sauce, if a buy a sirloin steak that is relatively thick, i make a small cut in the middle to make a pocket, then mix some mature cheddar with whole grain mustard, several drops of worcestershire sauce and stuff it in the steak, and chuck it on the grill or bbq if you have one.

simonka where are you from? maybe knowing that will help people with things you might like, might have and won't have them telling you about things you already know.

Steve

simonka, don't worry it matters not where you might be from its just about knowing what you will already be aware of. It would be pointless telling someone from Australia how to grill meat on a BBQ or explaining Bacon and egg to someone in the UK..

Steve

Grilled Steak With Horseradish Sauce
Ingredients 
8 boneless beef tenderloin steaks (or whatever cut you desire) about ¼ lb each
3/4 cup Mayonnaise
1/2 cup finely chopped red, yellow or orange bell pepper or a mix of all 3
2 heaping Tbsp. prepared horseradish
4 green onions, sliced
1 tsp. sugar
Pinch kosher salt or lemon pepper
Cracked or ground black pepper

Directions 
Season steaks with salt or lemon pepper and black pepper
Grill turning once for 6 minutes per side or until desired doneness
Meanwhile, in medium bowl, combine Mayonnaise with the bell pepper, horseradish, green onions, sugar and salt.
Ladle a line across the steaks or serve on the side.

Porterhouse Steak With Sauce Rouille

3 pound porterhouse steak
1 garlic clove minced
1 teaspoon anchovy paste
2 teaspoons olive oil
1/4 teaspoon freshly ground black pepper
1 russet potato peeled and chopped
1/2 cup chicken broth
1 small red bell pepper seeded and chopped
3 garlic cloves
3 jarred hot cherry peppers drained and stems removed
2 ounce jar pimento peppers drained and chopped
1/4 teaspoon chopped fresh thyme
1/4 teaspoon red wine vinegar
1 dash hot pepper sauce
5 tablespoons olive oil
1/2 teaspoon salt
1 teaspoon freshly ground black pepper

Directions 
Trim the fat from the edges of the steak leaving a layer 1/4 inch thick then slash the layer of fat at 1-inch intervals.
In a small bowl using the back of a spoon mash together the garlic, anchovy paste, olive oil and pepper until smooth.
Rub into both sides of the steak then cover and let stand at room temperature for 1 hour.
In a saucepan over medium low heat combine the potato and chicken broth.
Bring to a simmer and cook uncovered about 10 minutes.
Add the bell pepper and cook until heated through about 3 minutes more.
Drain reserving the broth.
In a food processor with the motor running drop the garlic cloves through the feed tube and process until chopped.
Add cherry peppers, pimiento pepper, potato, bell pepper, thyme, vinegar and hot pepper sauce.
Process until smooth.
With motor running slowly add the oil and process until the mixture thickens.
Transfer to a bowl and whisk in the reserved chicken broth.
Season with salt and pepper.
Cover and refrigerate until serving.
Prepare a hot fire in a grill.
Position the grill rack 6 inches above the fire.
Place steak on the rack and sear turning once until nicely browned about 1 minute on each side.
Using long handled tongs to hold the meat sear the edges then grill over a medium hot fire turning once for 20 minutes.
Transfer to a cutting board and cover loosely with aluminum foil.
Let rest for 5 minutes then cut meat from bone and slice across the grain.
Drizzle sauce over the top.

Grilled beef eye fillet with bordelaise sauce

You need:
2x 250g eye fillet steaks
1 celeriac
1 large parsnip
120g butter beans
100g English spinach
20g butter
light olive oil
salt and pepper
4g fresh truffle
10ml truffle oil

Bordelaise sauce
1 small onion diced
1 small parsnip diced
1 stick celery
1 clove garlic
Thyme to taste
15g flour
20g tomato paste
500ml strong beef stock
250ml red wine
8 marrow bone ringlets
6 shallots sliced
1 small tomato, flesh diced
sprig of parsley, sliced

Method:
Lightly oil and season eye fillet. Peel celeriac and parsnip, cut into thick batons. Place in pot with seasoned water and cook keeping firm. Drain and pat dry. Place steaks on hot char grill and cook to your liking. Place celeriac and parsnip on lightly oiled flat grill and cook till crisp. Grill marrow bones and sliced shallot till translucent. Remove shallot and marrow from bones for sauce. Cook beans and spinach finishing with butter and seasoning.

Bordelaise sauce
Melt butter in heavy pot and sauté onion. Once caramelized add parsnip and celery till coloured. Add garlic and flour and cook till golden. Add tomato paste then wine stirring to remove lumps then slowly add hot stock. Bring to boil and simmer till flour cooked out and reduced to sauce consistency. Add thyme and parsley stems, season then pass. Return to pot; add grilled marrow, sauté shallot, parsley and tomato, reheat and serve.