The bottled stuff like A1? Not on steak, but I like it instead of ketchup on other things.
But if we're talking sauces that happen to go with steaks, then yeah, sometimes sure, especially with a leaner cut like tenderloin. Things like bearnaise, green peppercorn brandy cream, blue cheese sauce, etc. Or something with a lot of flavor that stands up to a sauce, like flat iron, skirt, etc.
Probably not with a ribeye, strip, porterhouse, or just about anything on the higher side of prime or wagyu. They're already pretty fatty, so I'm not looking to add richness, and the flavor of those cuts and grades should be good enough to stand on their own.