Guar Gum is one of the vegetable gums (Xanthan Gum is also popular) that can be used for sauce thickening in place of starch. A little goes a long way, and it's not heat-reactive like flour or starch, but absorbtive, causing thickening by binding to the water in the sauce.

I found it in the natural foods section of my local QFC (Kroger's), and most health food stores or natural food stores will carry it. The brand I like is Bob's Red Mill.

You can also order it online at the Bob's Red Mill site, or from sources like netrition or carbsmart.