Cook the bacon in a skillet and reserve the bacon grease in the pan. Drain the bacon and crumble into pieces.
Make sure you have 5 tablespoons of bacon fat in the skillet (you can get most of this by cooking a full package of bacon). Heat the skillet over medium heat and add the flour.
Whisk constantly for about 3-4 minutes. Mixture should be a very light golden brown.
Slowly stir in the milk while whisking constantly.
Stir in the salt, pepper, cayenne and crumbled bacon and bring to a simmer.
Cook for about 3-5 minutes, until the gravy is thickened.
Notes
Once you add the flour, use a silicone whisk to whisk constantly to ensure the roux doesn't burn.
SLOWLY add the milk while whisking constantly. This is important as adding it too fast can cause your gravy to become lumpy.
Warm your milk slightly (room temperature is ok) before pouring it in the gravy. This will also help to prevent lumps.
You can add more or less crumbled bacon as you prefer. Be sure to reduce the salt if adding more bacon.