Lea and Perrins for me. Henderson's is a South Yorkshire thing and while they are technically part of Yorkshire the rest of us try to gloss over that.
Rich coming from a West Yorkshire-er!
I hadn't come across Henderson's before either, but also rarely been to Sheffield, although I do like Pulp and Reverend and the Makers.
W'ster sauce on cheese on toast or a bacon & fresh tomato sandwich is a thing of beauty though, so may give it a try if available in Hertfordshire.
Slightly different as its sliding towards brow sauce territory, but a mate introduced me to Oxford sauce recently in a sausage sandwich*. very very good.
*the sauce was added to the sandwich, we weren't both in the sandwich, it perhaps needs an Oxford Comma to clarify, or it may just be poor ordering!