Filet mignon is the prized and expensive cut that comes from the small end of beef tenderloin. It is usually only one to two inches thick and roughly two inches in diameter. It is extremely tender, but does not have as much flavor as some other cuts of beef closer to the bone. Because it is so tender, it can be cooked very quickly. You can grill, broil, or sauté filet mignon and it is traditional to serve it with some kind of sauce such as red wine sauce, or Béarnaise sauce.