If you're out of flour (this can happen) then corn starch works nearly as well in a pinch.

Photo Courtesy of Missy on Flickr
Roux, pronounced ‘rue’, is the ingenious mixture of equal parts flour and fat that magically thickens your sauces and gravies.
Have you made sauce from a roux before? We’d like to know your tips and tricks – please share them in the comments section!
The fat source can be either an oil or Earth Balance® vegan buttery spread (any edible fat, really) and the flour can be whole wheat, spelt or all-purpose. It depends on what the recipe calls for.
A standard roux begins by melting 1 (or 2) tablespoons of fat in a pan on medium to medium high heat and then adding 1 (or 2) tablespoons of flour until it forms a nice paste. The 2 tablespoon method will yield a thicker sauce.
Now there are a couple of options at this point: you can remove the roux from the heat and freeze it for later use. If you’re using oil as your fat you can reduce the heat to medium low and cook until it turns into a brownish color, about 15 to 20 minutes. This is a dark roux and is commonly used for gumbo and jambalaya.
Assuming you’re not freezing your roux, but rather using it now, it’s time to add liquid, herbs and flavoring ingredients. Any liquid you add to a roux should be at room temperature and added slowly, to ensure that lumps do not form. Constantly stir or whisk your roux as you add liquid so it cooks evenly with no lumps. Common liquids for a roux are water, milk (any non-dairy milk works as a substitute) and stock.
You can also add dried or fresh herbs, such as a bay leaf, basil or parsley for more flavor. Always remove the bay leaf before serving but leave the other herbs if they are chopped finely. You can mince garlic and onion and add them to your roux as well.
If you are adding other ingredients to your roux, first cook the garlic, onions or herbs in the butter and THEN whisk in the flour. The liquid will come last. If you desire a smooth gravy or sauce, you can strain the onions or other ingredients before serving.
Once you have added your ingredients and liquid, bring the mixture to just boiling and reduce the heat to a simmer, continuing to stir until it thickens to the desired consistency. Then you’re ready to serve!
Don’t forget to share your own tips and tricks for making sauces and gravies in the comments section!
If you're out of flour (this can happen) then corn starch works nearly as well in a pinch.
I make a mixture of water and all-purpose flour, a little thinner than a paste, and add to the broth over high heat.
Making flour and water into a roux first, (browning it) makes it so that the sauce doesn't have a raw flour taste.
Sometimes if I screwed up and it got lumpy, I just put the whole batch into the blender to smooth it out! Works like a charm!
I use a roux for making mac and cheese, non-dairy, of course! 
Potato flour is nice to thicken soups and gravies too!