Bury Me Standing: The Gypsies and Their Journeyby Isabel Fonseca was a wonderful book. It's written by a woman who, although not a scholar, has spent a lot of time with Roma, especially in Eastern Europe. She mostly writes about the people she meets but has interesting asides into Roma history and also the Holocaust (as a Jew, Fonseca has an unique insight on the differences and similarities between Roma and Jewish fates in the Holocaust).
This book isn't meant to be everything on the Roma. It's not at all scholarly (although, as with many books like this, I wish the she had put in at least a few footnotes) and Fonseca never makes herself out to be an expert on Roma, but she writes about them with compassion and makes an interesting tale.
Next, I'd like to track down Ian Hancock's (an American Rom) We Are the Romani People. Or Jan Yoors' Gypsies, or Gypsies: The Hidden Americans by Anne Sutherland. I'll see what ILL can come up with since there is very little in the libraries I can use. Or maybe I'll finally decide to fork out the $50 annual fee to use the local university library. It has all sorts of great books.