Curiously I cooked one last weekend - the first time in years - and only because our local supermarket was selling fillet steak for half-price.
It's difficult to make well because the timings of the various stages are critical to having each element perfectly cooked. Because you must use a big piece of fillet steak it is expensive to make and you can't cut-corners on any of the other ingredients either - good flavoursome (wild) mushrooms for the duxcelles and a quality pâté are essential. I've never bothered with wrapping everything in a crepe before encasing it in pastry - if you pre-cook the steak to blue and make sure the duxcelles is dry enough to soak up any remaining meat juices then the pastry doesn't go soggy. I've seen some recipes wrap the meat in parma ham, but that's an unnecessary addition IMO - ham and beef are not good companions and the pâté is going to overpower any smokey flavour coming from the ham anyway.
I like serving it with a thick mushroom sauce made with cream and a little red wine and a cucumber sauce made with crème fraîche and mint (that's not traditional and is more an accompaniment for Salmon en Croute, but it goes surprisingly well with Beef Wellington).
The best part of the meal for me is sneaking back into the kitchen to polish off the pastry ends that were too untidy to serve on the plate to your guests. Chef's treats
I've never ordered it in a restaurant because I've never seen it on the menu (I'm not sure there are that many restaurants that could do the dish justice to be honest).