For something a little more healthy -
I've switched from the traditional butter based sauce similar to what everyone says above, to a quick Olive Oil rub down, then dry seasoning applied to the fillet (Johnny's, garlic powder, dill weed), and a squirt of Wersheshire or whatever else you like. Then cedar plank it or on the grill skin side down directly. Still good, no butter, no complaints. Miss my butter, but not that much.