Crocus sativus pronounced saffron [sæfrən] is the world's most expensive spice.  Saffron are the stigmas from the crocus sativus flower (see image above).
There are only 3 stigmas (referred to as saffron threads) per flower. Saffron is hand harvested so you can understand why it is so prized and so expensive. 

Where Saffron Came From
Saffron comes from Persia originally. The Mongols took saffron from Persia to India. In ancient time saffron was used medicinally and as well as for food and as a dye.

How To Buy and Store Saffron
Unless you use saffron frequently it is best to purchase in small amounts like 20 grams at a time first. You’d better buy from original resource. There are confusing resources like Tibet, Yunnan Province, all not right choices. Welcome retailers and wholesalers or cooperate with pharmaceutical factory.
Threads vs Powder
Like most all spices and herbs, "whole" is more powerful than ground. Whole saffron must be prepared before use, sometimes soaked, sometimes toasted and ground.  If that's too much fuss for you then you may want to purchase ground. Buy ground saffron in small amounts and use within 3 to 6 months.  Purchase saffron from a reliable shop and be particularly careful when buying powdered saffron as it can be "cut" or diluted with turmeric or other additives.
Storage
Saffron must be stored in a cool dark place.  It is customary to wrap saffron in foil and place in a tin or jar with a tight fitting lid.
Shelf-Life
Properly stored you can keep saffron for minimally three years.  It won't "go bad" but the flavor will diminish as it ages.
Amounts used in common recipes

Dish	Servings	Saffron
Paella	6 - 8	1/2 tsp threads
Bouillabaisse	6 - 8	1/4 tsp threads
Risotto Milanese	4 - 6	1/4 tsp threads
Saffron Cakes	18 muffin sized cakes	1/4 tsp threads

How To Use
The most important rule is "don't use too much". A very little bit of saffron goes a long way and if overused becomes overpowering and leaves a "medicinal" flavor.
Methods
There are several ways to prepare saffron for use. Consult your recipe for specific recommendations.  Basic methods include:

• Soak Threads - The threads are soaked in liquid which can be broth, water, wine then the infusion is added to the dish.
  
  Method: crush threads with your fingers or use a tiny mortar and pestle. Add the saffron to the liquid and soak for 5 - 20 minutes. Add the "tea" to your recipe.
• Toast Threads - Many traditional paella recipes recommend toasting the saffron before use.
  
  Method: Carefully toast threads in a medium-hot heavy skillet (cast iron is good) do not allow to burn.  Then grind threads into a powder and use as directed in the recipe.
• Crumble and Use - Sometimes recipes that use a lot of liquid like soups, or salad dressings just say to crumble the threads and add directly to the dish. Soaking, even for a few minutes works better, provides better distribution of color and a more robust flavor.

Substitutions for Saffron
You may use turmeric as a substitute for saffron's coloring properties but not for the flavor.
Safflower flowers can be used to offer some color to foods but no flavor.  Safflower is frequently confused with (and sometimes passed off as) saffron. Another reason to buy from a reputable source.
Iranian Saffron
Iran is the premier producer of Saffron.  The quality is based on even coloration, percentage of floral waste and percentage of flower "styles" (waste and styles add weight but no flavor or coloring power).

Grade	Flower Waste	Styles
Coupe	up to 5%	-
Mancha	up to 5%	10 - 15%
Rio	up to 10%	20 - 25%
Sierra	up to 15%	25 - 30 %

Coupe - lowest production, very hard to find.  Mancha - The best "available" Stigmas are deep red. Rio and Sierra have more yellow and lighter color threads and considerably more waste.