Fry sauce is such a common thing around here it's weird seeing people that haven't heard of it. Though I guess I shouldn't be too surprised that it's ubiquitous around here, that Wiki article posted above claims fry sauce was invented by the Arctic Circle restaurant chain, which exists here.
I know they’re not on every city around the country, but Freddy’s Steakburgers sells a bottle of their fry sauce over-the-counter. I think it’s like $3.99 or $4.99. Tastes just as good as the self-serve in the restaurant.
It's really easy to make yourself. I go with mayo, ketchup, mustard, worchestershire, oregano, cayenne, paprika and salt. And if my wife isn't having any, I'll add some finely chopped pickle. It's good stuff.