A cohesive history of Gypsy (or, more appropriately, Roma) music is a pretty intimidating and, really, elusive project. We're talking about multiple genres (flamenco! Balkan brass! jazz!) in myriad places made by an historically diasporic people who've dealt with centuries of extreme persecution and constant migration by fashioning their own culture at least partially out of local cultures wherever they are. On the other hand, those very difficult-to-pin-down characteristics are exactly what make the musics of the Roma people so fascinating and richly historied.
A really basic trajectory of the Roma music diaspora might look something like this: A group of people in 11th-century Rajasthan, India, for some reason began migrating toward Egypt (where the name "Gypsy" comes from). Eventually, various groups moved into Turkey, then across Western Europe and the Balkans. In each location, musical styles brought from Rajasthan (where folk music today still bears a resemblance to much of diasporic Gypsy music), and developed along the way, were merged with local traditions to create new genres and sounds: Turkish classical and folk musics are heavily inflected with Roma modalities, for instance, while in Spain, flamenco music was created by Roma musicians and out of Roma traditions. In the 1930s, Django Reinhardt and other musicians of Roma heritage in France and Belgium developed a type of acoustic swing that incorporated Roma traditions and was called Gypsy jazz.
In the Balkans and near Eastern Europe, Roma musicians incorporated the alternatively rapid-fire and mournful sounds of Jewish and Eastern European fiddle and Balkan/Ottoman brass to develop the styles most of us think of when we think "Gypsy music." And those traditions have proved prolific. The raw, plaintive vocals and evocative fiddle stylings are what drew famed composer Bela Bartok to Roma music. Elsewhere, Macedonian artist Esma Redzepova (known as Queen of the Gypsies) and Romania's Taraf de Haidouks (who rose to fame when they were featured in the acclaimed documentary Latcho Drom) have carried on these traditions to great fame. Meanwhile, the raucous brass band tradition (celebrated with a massive festival/competition in Serbia each year) is represented by artists like Romania's Fanfare Ciocarlia, Macedonia's Kocani Orkestar and Serbia's Boban Markovic. Markovic's son Marko is one of several younger musicians blending Roma music with rock, hip-hop and pop, including European artists like hip-hop duo Gipsy.CZ and American bands such as Gogol Bordello.
In other words, there's so much good stuff to listen to in this little not-so-cohesive history that you better get started. Now.