I'm with Hunter in that quality trumps cut. Almost anything graded usda prime is great for me. One thing to be aware of, they just adjusted the standard for prime grade and it's too easy to pass now in my opinion - prime isnt the sure bet it used to be.
Now, if you equalize for quality, I go for bone-in rib steak. My butcher always has prime grade and my favorite is to have them take a big standing rib roast and cut steaks off of that, inch-and-a-half to two inches thick.
Filet is tender but I don't think of it as steak. When it's plated with a nice sauce it's great but I put it in another category.