Various bands you might want to check.
Taraf De Haidouks - the masters.....
Gogol Bordello - gypsy punk, maybe not so much what you are looking for.....
Kal - they did an excellent traditional album that is more likely to be what you are looking for. They primarily play a gypsy rock style.

All can be found on myspace.
There's a bunch more and I'll try to list them soon.

That depends on what type of gypsy music you want to learn. Eastern European music from Hungary, Ukrain and Romania are all really cool (Im sure others are too of the area but this is what Im familiar with) and envolve lots of fast crazy violin. Check out Taraf de Haidouks of Romania. My other cds dont have titles really, just "gypsy music from_". Any cd store should have tons of them used in the world music section.

My favorite Roman music is Turkish but for a keman (violin) player its tricky because the scales have more notes than western music...quarter tones in fact. You would need a Turkish teacher for sure. Check out music from Selim Sesler, a fabulous claranet player from Thrace.

Also movie soundtracks such as Latcho Drom and Gypsy Caravan (documentary, not the tribal groupe) have musical samples from the middle east, europe, turkey and india.

Hope that is helpful! xoxoK

I am mostly into old russian gypsy songs. Try Pjotr Leschenko.

I love this one:

www.putumayo.com/en/catalog_item.php