I always love horseradish with beef tenderloin, so my standard preparation has typically been to season the tenderloin with some salt and cracked black pepper and minced, fresh garlic. I then sear it on all sides on the stove, finish it in the oven, and serve it with a horseradish sauce, and typically some arugula or watercress.
On a couple of occasions, I've wrapped it in bacon. I've also prepared a Cabernet sauce and sauteed mushrooms. And while I loved the bacon wrapped tenderloin, my favorite is still the simplest preparation I mention above with the horseradish sauce.