Species name: Perovskia atriplicifolia
Common name: Russian sage
Based on the common name of this plant, you would probably guess that it's a relative of the "cooking sage" and that it was native to Russia. Yet another example of terrible common names assigned to plants (and why you should never rely on a common name alone to identify a plant), because you'd be wrong on both fronts. This plant is actually native to the Middle East and southwest Asia (Afghanistan through to Tibet), and is only related to sage at the family level. It does have a very strong smell like sage when the leaves are crushed, and the flowers are somewhat similar so I see how the comparison is made. I have no idea where the "Russian" part of the name came from; perhaps it's a common plant now in Russia?
Despite the scent and common name of the plant, this should be used for ornamental purposes only! Traditional use of this plant (mostly in Pakistan, but also some other surrounding countries) is through smoking for its psychoactive properties; the main psychoactive compound in the plant is thujone, which is the same chemical responsible for the psychoactive properties of absinthe (as an aside: recently there has been some debate about the origins of the psychoactive effects of absinthe when consumed; it actually contains very little thujone in it). Research is relatively limited on the compounds stored in the leaves versus roots, flowers, fruit, etc. but what has been done suggests that all parts of the plant should equally be avoided for consumption. In Eurasia this plant was also quite popular as a medicinal plant, being used primarily in a tea-like beverage to take away headache pain. So far there's no evidence to support that this plant actually works in that way. Plants, like willow, that naturally contain antipyretics (the fancy name for chemicals that reduce fever) are called febrifuges.