Can vouch for Fanfare Ciocarlia - got quite a bit of their stuff. "Speed kings of Gypsy brass" they call themselves. Incredibly fast! I'd recommend the Gili Garabdi album.
Don't know so much Goran Bregovic apart from his collaboration with George Dalaras on one of the Balkanbeats compilations. They're a good place to start with your balkan brass.
Boban Markovic is pretty decent too - his Live in Belgrade album has me jigging quite a bit in the kitchen most evenings while attacking the parsnips.
Obligatory mention of Loyko, the Russian gypsy trio. Two violins, one guitar. Soulful as fuck. I mean, wow. Seriously