Hello all. While I'm here, may as wel post on the topic d'jour...
On ketchup, I'm none too picky, but usually go with Heinz.
I'm a big mustard fan, particularly of the horseradish, sweet hot, and dark pub varieties, though generic yellow (and numerous others) will do just fine.
For mayo, I go for Best Foods (Helleman's). Have had mayo on fries now and then... not too bad, but I prefer thousand island, ranch, tartar sauce, or ketchup.
Steak sauce? Goodness no! A good, virtuous steak wouldn't dare be seen with such unseemly company. Some horseradish, however, can be a lovely addition.
As for pickles, I love a crunchy kosher dill. I use sweets in macaroni salad, and will go either dill or sweet with tuna. Can't remember what kind it was, but the worst pickle I've ever tasted was at the Stage Deli in NYC. Luckily, the rest of the meal was much better.
On the rare occasion that I'll eat a hot dog, I want onions, mustard, and relish.