One of the fundamental techniques in Cajun food is the “roux.” It isn’t that hard.
This is my own method for a fast roux.
First, realize what you are doing. You are toasting flour in oil. You could probably scrape toast into oil and get mostly the same flavor.
Making a roux takes about ten minutes and a bold attitude. Before you start, make sure you have a heat-resistant bowl or dish to put the hot roux into for cooling. Metal would work, though I use a CorningWare ramekin.
Most cooks use an oil to flour mixture between 1:1 and 1:1.5. You want enough to cover the bottom of your pan, because thin spots will burn. To start, try 1/2 cup or 1 cup each of oil and flour.
A roux with more oil is easier to work with. It is less likely to leave a thin layer that overheats and burns. You can also add more oil while working. That will thin the roux and also cool it off a bit.
Start with a cold pan. Put the oil and flour in a heavy pan that is small enough that the bottom is completely covered. Whisk the mixture so that there are no lumps. Turn the heat on high and start stirring. Do not stop stirring.
You’ll see the moisture boil out of the flour first. The roux won’t brown while the flour has moisture. Once the bubbles stop, the oil can heat above 212º and the flour starts browning. Keep stirring. If parts of it are browning faster than you can stir them in, turn the heat down.
When it is as brown as you want, scrape it into the waiting bowl.
Or, if you are making Cajun food right now and you have the right amount of roux for the recipe, toss the onions, celery, and peppers straight into the roux and keep stirring.
If you burn it, you’ll smell it. Dump it out, wipe out the pan, and do it again.
If you have a cast iron skillet, this is a great way to keep the cure in it. Nothing like heating oil in cast iron to keep it happy.
Most important: Ignore all interruptions. If you do anything else, you will burn the roux. A friend of ours in Baton Rouge said it always took her three tries to make a roux, because she would burn the first two because of interruptions (kids, dogs, phone calls), and there was no way you could interrupt her during the third one.
If you want multiple official roux techniques from large batch to microwave, read Alex Patout on roux.
Update: Commander’s Palace uses (almost) the same approach to making roux. From the recipe for Gumbo YaYa, page 62 of Commander’s Kitchen, just after browning the chicken (they use 3/4 cup oil and 3/4 cup flour):
When the oil has returned to the smoking point, make a roux by by slowly adding the flour to the oil, stirring constantly over high heat with a wooden spoon until the roux is the color of milk chocolate, about 3 to 5 minutes. Scrape the sides and bottom of the pot as you stir. Be careful not to burn the roux; if black spots appear, you will need to start over.
When the roux has reached the desired color, add the onions …
I don’t see the point of heating the oil before you add the flour, since the flour will instantly cool it off. Whisk in the flour before it gets hot and you’ll have a bit more time to get the lumps out.
Their recipe for Dark Roux (page 300) seems wrong to me, because they add the flour in three batches, which means that the early portions are more browned than the later, unless you add the next batch before it starts browning. Too fussy. Whisk it all in, then turn up the heat. Life is too short to use high risk roux recipes.
Note: The two best meals I’ve had in my life were a shrimp creole that my mom made which turned out perfectly and Tina and my tenth anniversary dinner at Commander’s Palace.
Final, final note: If you want to understand how browning reactions work, read On Food and Cooking by Harold McGee. My approach is based on his science.