1 lb. plump, medium-size mussels
6 tablespoons extra-virgin olive oil
8 garlic cloves thinly sliced crosswise
1 shallot peeled and cut into matchsticks
1 teaspoon smoked sweet Spanish paprika
1/4 teaspoon saffron threads
1/2 teaspoon kosher salt
3 1/2 tablespoons Champagne vinegar
Heat a 4-qt. pot over high heat. Add mussels and 1/4 cup water; immediately cover to trap steam. Cook just until mussels open, 2 to 4 minutes. Drain, discarding any unopened ones. Let cool, then scrape mussels from shells into a bowl.
Heat oil in a medium pot over medium heat. Add garlic, shallot, paprika, and saffron. Reduce heat to medium-low and cook, stirring often, until garlic and shallot are soft but not golden.
Remove mixture from heat and stir in salt and vinegar. Pour over mussels. Set bowl in a larger bowl of ice and cold water and let mussels cool until cold.
Transfer mussels and pickling mixture to a pt.-size jar (or 2 smaller ones). Tamp mussels gently to just submerge, then chill at least 1 and up to 3 days. Bring to room temperature before eating.