Don't miss the movie called "Latcho Drom" (Safe Journey), the best movie made about Gypsies ever. Last time I looked, Blockbusters had it and it has been on PBS TV channels as well.
Also, the fiddling of Sandor Lakatos. The Lakatos are aluminary Gypsy family of musicans once very popular in Budapest. I knew Elek who was an expert Cymbalom player. Elek now resides in Las Vegas, I believe, at least from the Gypsy perspective, that's the last address for him.
Also, there is a film of the Django Festival at Samois Sur Seine which is scored by Babik Reinhardt. Django is a Gypsy hero and many of the young musicians aspire to emulate him. It is the music of the Manouche, (French Gypsy).