I've made roux in the microwave with some success.(Tip: It browns in the middle much faster than around the outside. Be careful or you'll burn it)
(Safety tip: Use heavy glass microwave safe container and DO NOT set it down on anything cold or wet after cooking the roux. The "Cooks Illustrated" people even fell prey to that pitfall, exploding their container of roux by setting it on a wet countertop.)
I'm wondering if anyone has tried making oil-less roux flour in the microwave. I read a comment somewhere that it can be done.