Saffron, one of the most expensive spices in India, is mainly cultivated in Pampore region of Kashmir. You can get saffron directly from the farmers here.
Shopkeepers will let you know how to differentiate real saffron from the fake ones. Different sized containers are available according to the choice of customers starting from 1 gm to 1 kg.
It'll cost you around 200 to 300 bucks for a gram of saffron. As it doesn't go bad for 2 to 3 years, I suggest buying a bulk would be helpful.
Tip: You can also give this 1 gm containers as a souvenir from Kashmir.