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Although I do love a good grilled steak and grill them often to avoid the mess and the 3 days of steakhouse smell in the house, the best filet mignon is done with the stove and oven method discussed above. Here is the one that works the best for me.

Pre-heat oven to 400.
Olive oil and minced garlic in a cast iron skillet, heat on the stove on high until it's smoking a bit.
Once the pan is hot, apply to the room temperature meat a light rubbing of olive oil, minced garlic, sea salt and freshly cracked pepper (or Montreal Steak if you must)
Sear the filets on one side for 3 minutes.
Flip, sear the other side for 3 minutes.
Then, move the pan directly into the 400 degree oven. 4 minutes for rare, 6 minutes for medium rare. If you're going beyond medium rare, order pizza instead.

If you really want to rock it, move the steaks to a plate and tent with foil. Then, put the pan back over medium heat on the stove and deglaze with a cup of red wine, scrub the pan with a spatula to loosen the goodness, then add sliced portabello caps and saute until they start to shrink. Toss in a tablespoon of butter and simmer until the wine reduces by about half. Plate the steaks and pour the sauce and shrooms over them.

If you don't want to do the red wine pan sauce, you can pull the steakhouse cheat and melt a pat of butter over it to make it look all oily and juicy. Use your discretion.

Another recommendation: I know our mothers wrapped bakers in foil and called it a baked potato. That is actually steaming a potato in its own moisture, and that is why it isn't as good as the ones from the steakhouse. Poke a few holes in the skin to prevent the explosion, brush the skins with olive oil, season with sea salt, and place them directly on the rack of a 400 degree over for about an hour.