1 tablespoon butter or neutral oil, like canola
4 tablespoons minced shallots
2 tablespoons white wine or cider vinegar
6 ounces crumbled Roquefort or other blue cheese
Pinch of cayenne
Salt and freshly ground black pepper
1 1/2 to 2 pounds strip or rib-eye steaks, or filet mignon
Minced fresh parsley or chives for garnish, optional
Start a charcoal or wood fire or preheat a gas grill or broiler; the fire should be quite hot, and grill rack no more than 4 inches from heat source.
Place butter in a small saucepan over medium heat; when butter melts and its foam begins to subside, add shallots and cook until soft, stirring occasionally, about 5 minutes. Add vinegar, stir, and cook until it is just about evaporated, 1 or 2 minutes. Turn heat to low and stir in cheese, cayenne and a few grindings of pepper. Stir occasionally until cheese melts, then taste and adjust seasoning. Keep warm while you grill steaks.
Season steaks well with salt and pepper, then grill or broil about 3 to 4 minutes a side for medium-rare, longer or shorter according to your taste. Serve steaks with 1 or 2 spoonfuls of sauce over each, garnished with parsley or chives if you like.