Saint Denis is a suburb (banlieue) just north of Paris.
The martyred saint was said to have been beheaded in Paris, yet miraculously picked up his own head, washed it and walked nearly ten kilometers north to his future namesake village. In Paris, you can see his headless statue by the main door of Notre Dame and his headless portrait in the mosaic of Sacre Coeur.
The city grew around the Basilica of Saint Denis, where his relics are currently stored.
To get to Saint-Denis, take the Métro 13 (light blue) and head north: the terminal is St. Denis Université, but get off one stop before at Basilique de Saint-Denis. No additional fare is required.