Melt butter in medium saucepan over medium heat. If using, add shallot and cook until soft, about 3 minutes. Stir in flour and cook for a few minutes, stirring constantly, until the mixture bubbles and looks like wet sand, being careful not to brown the flour (reduce heat, if necessary). Slowly whisk in milk in ½-cup batches. Bring to a gentle boil, whisking constantly. When sauce thickens, reduce heat to low and simmer, whisking occasionally and scraping bottom and sides of pan, for about 10 minutes, or until sauce is desired consistency. Add salt and pepper, to taste, and a pinch of nutmeg.