I've never made a sauce for a steak (only cooked one maybe twice), but based on eating out over the years, my faves are pepper sauce, Monkey Gland Sauce and Steak Dianne sauce.
Monkey Gland Sauce was hugely-popular in South Africa back in the day but nobody I've mentioned it to over here's heard of it.
It was one of those "I put that shit on everything" kinda sauces.
EDIT:
Always home-made. AFAIK you couldn't buy it way-back-when but these days everything comes in a bottle of course.