My favorite is a rib roast, but I often do a beef tenderloin if I'm serving a second entree. I tried Emeril's recipe last Christmas and it was very good.
http://www.emerils.com/recipe/2570/Beef-Tenderloin-with-Fresh-Horseradish-and-Black-Pepper-Crust

When using a whole beef tenderloin, I cut off the last 1/4 and use it for something else.

This year, I'll make the tenderloin and serve crab cakes with it (a few of my kids don't eat beef anymore). I got frozen ones from www.crabplace.com and they look pretty good.