bacon wrapped filet mignon is the way to go... the bacon gives an otherwise average tasting (but tender) part of the meat some flavor.
Of course, since it's the most expensive cut, people mistakenly believe it's the best tasting. (expecting to see a bunch to replies saying "is too") Ribeyes (aka delmonico, prime rib) are the best tasting cuts of beef and don't need bacon for flavor. Of course, the filet is the tenderest portion of the meat, but that is far from a determining factor between the two from any decent beef.