I like my meat charred on the outside and rare -- but not bloody -- in the middle. That's the maximum flavor profile, IMO. I also like good meat done simply -- save the marinades and sauces for lesser cuts. Well, maybe a little Bordelaise or a port reduction on the side, especially with filet mignon, which is not the most flavorful cut of beef -- it's prized mostly for it's melt-in-your-mouth texture.
Assuming we're talking about individual 1.5-inch thick filet mignon steaks, I'd rub them with olive oil, a bit of salt, and a lot of coarsely ground black pepper, then grill them over a very hot fire about 3 to 4 minutes per side. Trim the fat to avoid excessive flare ups. Time varies depending on your grill, of course. You have to be careful with filet mignon not to overcook it or it will be dry and tasteless.