Butter is one of the most common fats to use in a roux. This is typically what you will see in French cooking. However, when preparing a darker version (see types and variations ) then something with a higher smoke point may be used due to the extended cooking time. This may be fat rendered from cooked meats, clarified butter or oil.
You can use a range of different fats based on what you have available and what you are making the roux for. However, I don't recommend using margarine, as it has a lower fat content and will affect the taste of the dish.