The most commonly used are starches of some kind, because they all have the quality of swelling up in any liquid to which they are introduced. But it's important to note that they also tend to behave differently.
Arrowroot, for example, has an interesting property. It tends to clarify any liquid into which it is introduced.
This is great for fruit sauces but may not be quite so effective with a meat-based gravy. It gives it an artificial appearance in my view, although you may quite like it and if you do, use it.
Starch compounds such as arrowroot, corn starch and potato flour need to be mixed with a cold liquid before being added to anything hot. They should be added a little at a time and allowed to cook for a while after each batch.
This needs to be done at the end of the preparation, because the thickening effect doesn't always last that well. Kept on the heat, liquids thickened by starch tended to thin out again after a time.
Using flour
Don't worry that flour will make your gravy lumpy! Providing there is a fat present, flour will behave itself, and even if it doesn't it will still whisk into the gravy or sauce.
The best way to use it is either as a roux, or as a beurre mani