I like my steak perfectly rare, but it's hard to order because steakhouses seem to have wildly different ideas as to what constitutes a rare steak. Some places lean toward blue while others lean toward medium. I want my steak rare as possible while still being warm all the way through. This isn't a problem in nice restaurants since you can discuss the specifics and know it'll be perfect but more casual places are a crap-shoot. It's definitely better to er on the side of rare though. Overcooked steaks make me cry searing tears of blood. Better blue than ruined.
Of course, it only matters with nice meat. If you got crappy steak, cover that bad boy in jerk seasoning and cook it to death (i.e. to medium rare).