Recently my sister called me up with this question. She was making mac and cheese and her sauce was lumpy. Easy diagnosis, she used cold milk and dumped it in all at once. Scald the milk, and whisk it into the roux gradually. Personally I like to grate in a little nutmeg.

The recipe SKK links has all the hallmarks of a great, traditional bechamel--equal parts flour and butter by weight, and warming the milk before whisking in. You can always add less milk at the beginning, then more to thin to your desired consistency at the end.

http://www.food52.com/recipes/2759_bchamel_sauce This link is to a great sauce that also gives ideas on making thicker, etc. This would be a good addition to usuba dashi's useful comments.

Do I assume you have the whole roux thing down? If so, the milk part can run the gamut from skin to double cream and everything in between. The richer the milk, the richer the sauce. Don't forget a bouquet garni. I use to also take a whole peeled onion and stud it with one whole clove and drop it in. Let it cook for at least an hour, if not more. Sometimes I would also finish with a pinch of fresh grated nutmeg. Just some ideas.