I recently bought saffron-azafran that comes in 4 small capsules. Now what can I do with it besides paella?
Saffron is the most fabulous spice, with a rich earthy aroma.
Use it gently and reap the rewards.
Besides Paella, another obvious use is Risotto.
Much more sublime is Bouillabaisse (http://www.beyond.fr/food/bouillabais...) which uses Saffron in the broth as well as the Rouille. Other fish soups or Moules benefit from saffron in the broth.
Lamb or chicken braised with preserved lemon and saffron is truly sublime.
Also you might make a bread pudding with dried fruits and saffron scented milk in the custard.
It most uses I put wrap the saffron I'm using in tin foil and put the packet on the lid of a warm pot or in a dry fry pan and gently warm (or toast) it. I then grind it in a mortar or break it up with my fingetips into the liquid and let it steep.
Saffron is definitely a less is more thing. Too much can make things taste mediciney. The right amount give a great flavour and wonderful colour to food.
I've used saffron in alot of non-paella items, but most recently I made saffron-infused vodka and saffron mayonaise for poached salmon. My local bakery also makes great saffron buns and there's also saffron in my favorite Persian ice cream.
Do you like lobster ravioli? A nice cream sauce w/ a pinch of saffron and a dash of dry sherry brings it over the top.