For the marinated chicken: Trim chicken of excess fat. If using breasts, remove the tenders and reserve for another use. Cut meat into 1 1/2 inch pieces. In a large mixing bowl, whisk together 1/4 cup yogurt, 1/4 cup canola oil, garlic, onion, spice blend, Saffron Water, vinegar, 1 tablespoon lemon juice and sea salt. Toss chicken in marinade and refrigerate for a minimum of 3 hours and up to overnight.
For the Cilantro Yogurt Sauce: In a small mixing bowl, whisk together 1/2 cup yogurt, cilantro, 1 tablespoon lemon juice and cayenne. Season with salt. (Can be made up to 6 hours in advance.)
For the skewers: Use 4 thin metal skewers or, if not available, soak long wooden skewers in cold water for 30 minutes. Preheat charcoal grill to medium-high heat or you can use a gas grill, but the flavor won't be as good.
Squeeze chicken to drain extra marinade. Skewer chicken and season with sea salt. Generously oil grill, as marinade makes it easy for the chicken to stick to the grill. Grill skewers for 3 to 5 minutes without moving them, until well browned on outside. Turn skewers over and cook for about 2 minutes to finish cooking chicken. Let rest for 3 minutes. Serve with the Cilantro Yogurt Sauce.