When visiting Lisbon, it's definitely worthwhile to check out Cascais--the 40-minute train ride along the water is extremely pleasant--and if you do, there's a restaurant out there that should not be missed: Ginginha Transmontana.
It's a tiny place (so it's best to call ahead and reserve), with décor best described as "funky"--a bit like a cluttered, yet well-organized, basement, rounded out with Christmas lights and candles stuck on top of wine bottles. When you sit down, they will automatically bring you their house white wine and the house appetizer: mussels that have been steamed with white wine, onions, garlic, chouriço, and bacon. Accept them. They specialize in meats and seafood grelhado na telha, or grilled on a roofing tile. They set up a piece of terra cotta roofing tile on a salver, on which to grill filet mignon the size of a softball, or scrupulously fresh lobster, squid, shrimp, or fish over flaming aguardiente (brandy). When it is brought to the table, garlic butter is liberally applied, and, in the case of seafood, lemon, to douse the flames. They also do a killer chanfana (kid goat stewed with red wine, onions, and chouriço).
It's a rather long walk from the train station, so it's best to take a taxi (they're cheap). If there is any question about the address, direct the cab driver to the Largo das Fontainhas. It'll run you about $35-$40 a head, and well worth it. Closed Sundays.
Rua de Alvide, 366
2750 Cascais, Portugal
(+351) 21 483 26 55