For roux, a thick bottomed pot is best, and DO NOT walk away. Stir constantly. You don't want it too hot either. If you burn it even slightly it's garbage and will ruin the recipe. Patience is key.
You can make a faster high temperature roux, but there is a fine line between being perfect and burned. The slow way is the more traditional method. The fast way is definitely for experienced cooks only, and can be very dangerous. It gets like napalm.