The reason filet mignon is often wrapped in bacon (this wrapping is called barding) is because this particular cut of meat has no layer of fat around it. The bacon not only adds extra flavor to the filet mignon, it also gives it the fat necessary to keep the meat from drying out. This is a concern since the strips are so small in filet mignon and they have less fat than most cuts of beef.
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What to serve with Filet Mignon
Since the flavor of filet mignon tends to be quite mild, many people prefer to serve it with sauces, either smothering the beef or as a dip. There are many different choices for the best sauce for filet mignon and most depend solely on the person's particular flavor preference. Some consumers prefer to have a certain type of steak sauce for dipping and some may prefer a marinade to add flavor during cooking. Either of these can turn out well.
Wines & Filet Mignon
There are many different types of wines that are good to serve with filet mignon, and determining which one will go best with it depends largely on the flavor of the sauce. This is especially true if the sauce is rather strong, or has a flavor that is stronger than the filet mignon itself. The best wines to match with filet mignon are dry, red wines such as Merlot. If your preference is a sweet wine, you may want to consider trying a White Zinfandel (if this is your choice, though, you will not want to use very much pepper on the filet mignon). If you are a white wine drinker, the best match for filet mignon will be a rich Chardonnay.