From Besh Big Easy: 101 Home Cooked New Orleans Recipes:

"I've probably cooked nine thousand gumbos in my life and I've acquired a bit of wisdom on how to make the legendary stew base called roux. Just about any fat works: I love rendered duck fat, chicken fat, or bacon fat, but canola oil works nearly as well. Instead of adding the fat and flour to the pot at the same time, I start by heating up the fat and wait for the heat to waft up from the pot. Then I add the flour (always 1 part fat, 1 part flour) and let it bubble up and fry a bit. I use a whisk to emulsify the flour into the fat. A spoon just won't cut it fast enough. As I whisk, I watch the brown spots of flour disappear into the fat. As soon as the roux starts to smell like roasted pecans, I turn the head down, so I don't burn the roux. You can't take your eyes off that pot: watch and smell the roux as it thickens and darkens. Keep stirring so nothing sticks. Once the roux turns a mil chocolate color, it's time to add the chopped onions. As the onions mix with the roux, you'll see it become glossier as the sugars in the onions start to caramelize, becoming sweeter and super intense. The roux will darken even more and only now can you think about adding the other ingredients."