The fat end with the cleft I find makes terrific little chunks for things like fajitas, "steak tips," and the like. The thin end makes chateaubriand.
Basically what I do, if I'm not roasting the thing whole, is prepare it as several people have described: remove the chain and any silverskin first up. Then you have a fat end, a slowly tapering middle, and the thin end that has the folded-up tail in it. Cut off the fat end to the end of the cleft, trim, and cut in cubes. Now start cutting in 1-1.5" thicknesses. You should get 2 tournedos, then about 3-4 filets mignon, and then you get to the thin end. Roll this tightly in a cloth napkin, and stand it on its end: it should be a cylinder, fairly tightly held in this form. Now pound straight down with a heavy skillet, several times, and you should have a large approximate circle roughly 1.5-2" thick; this is a chateaubriand. Cook this carefully, fairly well peppered, like any big steak (I find pan-searing and oven-finishing best), to very rare or maybe just medium-rare. Cut on the bias in slices, serve with bordelaise, bearnaise, or pan-reduction wine sauce, for 2 people as a romantic dinner with a very good red wine, salad, and crusty baguette.
Jacques Pepin's Complete Techniques has step-by-step photos of doing all of this up to and not including the cooking part.