Just got back from Filling Station in New Canaan. Two thumbs up. The meat was cooked nicely - medium in the middle with a real nice crispy char on the outside. It's most comparable to In-N-Out as far as size is concerned, something I will surely miss being a recent transplant from the West Coast. But this place was really good, and I will certainly return to sample the hot dog, the Sloppy Joe, and mix and match the many toppings they offer for the burger.
Also, as a side note, they serve beer!