The saffron shops clustered around the Reza Bazaar and along the Imam Reza Boulevard are the best place in Iran to buy the spice. Prices are honest by Iranian standards and the staff will let you compare grades by smell and colour. Several shops issue official certificates of origin for export.
Avoid powdered saffron (almost always adulterated) and very cheap saffron (usually the lower-grade Pushal). One gram of good Negin will season a generous saffron-rice dinner for ten.