It actually isn't
Saffron is expensive by weight, but potent, making it fairly inexpensive to use both as a spice and as a dyeing agent. Common uses include seasoning and coloring rice dishes, and coloring the characteristic orange robes of Buddhist monks. The most expensive commonly-used spice in the world is probably truffles, although the definition of a 'spice' can be the matter of some discussion.
Taste
As a spice, saffron is meant to be used (like bay leaves and certain other spices) to add character to a dish, but not necessarily to be directly tasted. Alone, it tastes herbaceous and slightly bitter, with a puzzling hint of chlorinated swimming pool (apparently via the chemical, safranal).
Backstory
Saffron has been a sought-after spice since at least the Bronze Age. Its use spread via trade routes throughout Europe and Asia, and took hold most strongly in Mediterranean climates where the flower of its origin could be grown.