Here's my favorite veggie gravy recipe, with the dairy version first and the vegan version in parentheses:
In a saucepan, slightly brown 2 Tbsp butter (soy margarine, careful not to burn it). Add 2 Tbsp flour and stir together until smooth. Add 2 cups milk (unsweetened unflavored soy milk) or you can use a cup of milk (soy) and a cup of water or homemade veggie broth if you want it to be a bit thinner. Turn the heat to medium and add 1 Knorr Vegetarian Vegetable bouillon cube (I'm not entirely sure if these are vegan - I've had one person tell me they were fine for vegans and one who said they had dairy in them. Read the label carefully, but you can substitute any kind of veggie bouillon, just use whatever the ratio to 2 c water is.) and 1 Tbsp (or more, if you like it) nutritional yeast. Whisk on medium just until the mixture comes to a boil and remove from heat. This is a very thick roux gravy, so use water and less flour if you prefer it thinner. Yum! You can also add all kinds of things to it - sometimes I saute some mushrooms or some onions first, I've had it with cashew "milk" and that was kind of weird but good, you can also add Braggs or tamari if you like it saltier or in place of the bouillon cube for a different flavor.
I'm an omnivore these days, but I was a vegetarian for a long time and that's how I learned to cook. One of my favorite things is a tofu pot pie made with veggies, tofu, and this gravy. mmm!