You will get materials attached when you import FBX from Blender into Unity but it will assign unity's standard material/shader. What you won't have is the texture assigned into the diffuse/albedo slot of the Unity standard material. Unfortunately, you will have to save the texture in Blender separately, then import it into unity before assigning it into the albedo slot of your material. In 3DS Max or Maya, the FBX exporter has an option called 'embed media'. Ticking this before exporting into Unity solves this problem. This means, when you export the FBX model into Unity, it will automatically be assigned with a standard material and the corresponding texture will be correctly assigned to the albedo slot. Unfortunately, I do not see this option when exporting FBX models in Blender.
Secondly, a material is actually just a shader code written which gets sent to the GPU. Normally, the material from 3D modelling tools do not get exported into a game engine. Game engines have their own materials which come with texture slots. You simply assign the textures you made in your 3D modelling tool into these slots. So when you said "When I export an FBX from unity how can I get the material in with it", what you really mean is for the texture to be automatically assigned to the albedo slot in the standard material.