I make the standard roux as mentioned in other posts. Then, depending on what I want the end result to be (i.e. either bechamel/veloute- love that sauce), either room temp. milk/cream, or room temp stock.
Never had a prob doing that. I add the liquid bit by bit and whisk it in, but also keep a flat ended wooden spoon handy for getting into the "corners" of the pot, so no thick, horrid sticky bits. I take it off the heat after each addition of liquid and whisk like crazy to incorporate it, then back onto low heat to thicken it up, repeat the process till all the liquid is taken up and it's lovely and thick, like a double cream.
Some say all the liquid at once - I do it my way, and its pretty much foolproof. Don't like doing all the liquid at once, I feel I have less control over it.
Then go wild and make it into whatever your main recipe requires. Loads of cheeses for an Alfredo, capers and lemon rind, basic cheddar for a cheese mornay sauce, Stilton cheese (hey ok I like cheese sauces :D), spices in now so you can get a good taste and balance. So many sauces out there, but a good basic white sauce or veloute can take you down many roads.