A roux is nothing more than flour and fat. The more delicious the fat, the better the roux. For example, duck fat or lard will impart more flavor than vegetable oil (but will be less healthy).
A heavy pot or cast-iron skillet is best for making a beautiful roux. Heat the oil and stir in enough flour to make the consistency of wet sand. For best results, a roux is cooked over low heat and stirred every 15 minutes until it's the desired color (like a copper penny).
You can cook a roux at a higher temperature, but watch carefully--it burns easily. Once it turns a dark golden color, you've got seconds to get it just a wee bit darker; there's a fine line between ready and burned.
For a lower-fat gumbo, you can use a "dry" roux, which is nothing more than flour that's been toasted in an oven until it's reached the desired color (a golden brown). The dry roux is then whisked into a liquid slurry, and the lumps are smoothed out before it's added to the broth.
From the base of either a "wet" or "dry" roux, you can create hundreds of versions by adding fresh herbs and vegetables (corn, potatoes, beans, eggplant, cabbage, squash...). Most seafood can be used (but add delicate oysters and crabmeat at the end, so they won't toughen and/or disintegrate), as well as most kinds of beef.