We do our tenderloin every christmas similar to DBigg's, though we use both dijon mustard and actual grated horseradish as a coating, after we sear it, which, again, is after we coat the entire thing in whatever spice mixture you see fit (we use things like paprika, cayenne, onion and garlic powder, salt and pepper, thyme, oregano). i think it's important to sear it first--to get a good crust on it, similar to how i do lamb shanks before braising.
on another note, for your next christmas, you might consider accompanying this beef with a type of bread pudding.
saute 3 or so cups of onions in butter and oil, add some mushrooms--preferably a little more exotic than button--and add some garlic. let cool, and add to a mixture of 5 eggs and some heavy cream and some cubed up bread. pour into glass dish, cover with grated parmesan (the real stuff) and bake at about 350 for about an hour or until browned on top.
i'm telling you--this may sound simple, but it's divine.
cheers.