If you want actual gypsy (Romani) music, try Taraf De Haiduks, Kocani Orkestar, Goran Bregovic, Boban Markovic, and Fanfare Ciocarilia.
Devotchka is cool for more indie-gypsy-whatever. They're kind of like a really mellow Gogol (That's a pretty loose analogy, because they're not really all that Gogol-y). They did the music for Little Miss Sunshine, if you're familiar with that movie. Shantel does some interesting mixing of electronica and Romani music, which might interest you. I don't really like him that much, but his music does have a lot of energy that you might like if you like Gogol. You might like Beirut too. They're not nearly as energetic as Gogol, but they have similar instrumentation and a lot of eastern European influence and they play some of the prettiest music I've ever heard, look up their album "The Gulag Orkestar" for some their more Eastern European stuff.
Blackbird Raum is awesome, though it's more just dark sounding, not necessarily 'gypsy', but still, I can see the connection. A Hawk and A Hacksaw is also really great. They're more technical and just really good musicians. Not so punky and loud though, but still check them out. Look up Dark Dark Dark's first album, "The Snow Magic", it's amazing. Really melancholy and...dark. It's one of my favorite albums. They're newer stuff is also really good but it's less "gypsy", and more piano and stuff. But still awesome. And I guess last would have to be Hurray For the Riff Raff. Sort of a mix between American Folk and eastern European sounding stuff. Real tight.
