Gypsy clothing varied based on social status -- peasants wore duller clothing (for lack of expensive dyes) while gypsies with higher status had bright, beautiful clothing. For females, clothing (of all statuses) consisted of bloomers, bodice, chemise (blouse), skirts and hat. Clothing is made of lace and cotton and leather for bodice, belts and boots. Married gypsy women wear a "diklo" head covering (bandana-like tied on head). Non-married women and girls can wear a diklo too. Women wear braids and jewelry too. Men wear a chemise (shirt), jerkin (vest), pants and hat. Gypsy shirts are usually full to the point of being baggy. You can find more information here: http://westwood.fortunecity.com/armani/208/costume.html
When thinking of a gypsie like dressing up as one you will have a small transformation to make. Gypsies hair is never shown so they wear a scarf or a hair cover up. Then they usually wear dark colors and a lot of jewlery. Large earing like hoops are a plus!