They have their own language, called Romany?. Analysis of the Romany language has shown that it is related to those spoken in northern India, such as Hindi and Punjabi?, which is believed to indicate their true geographical origin. Body habitus and ABO blood group distribution is also consistent with northern Indian warrior classes.
Their principal occupations over the centuries have been as itinerant peddlars, metal workers and horse dealers. When they first arrived in Europe in the Middle Ages, their (relatively) dark skins caused many Europeans to believe that they were natives of Egypt - the only hot foreign country most had heard of. Hence they they were referred to as `Egyptians' , from which the term `gypsy' is derived.
Roma and Sinti were widely believed to have psychic powers (see the popular stereotype of the Gypsy fortune-teller), and some romantics attribute the invention of the Tarot cards to them. This may reflect the belief that the Rom and Sinti, being of Egyptian origin, had knowledge of lost arts and sciences of the ancient Egyptians.
Because of their nomadic life-style, there has always been a great deal of mutual distrust between the Roma and Sinti and their less mobile neighbours: they were, and frequently still are, popularly believed to be thieves, resulting in a great deal of persecution. This belief is the etymological source of the term 'gyp', meaning 'cheat', as in "I got gypped by a con man."
This distrust reached a peak in World War II when the Nazis murdered large numbers of Roma and Sinti - they were one of the major groups (along with Jews, communists, homosexuals, prostitutes, etc.) that automatically got sentenced to imprisonment in a concentration camp. It is believed that between 600,000 and 2 million (about 70% of Rom population) were killed.