Tanzanite is very rare and comes exclusively from Tanzania.
It is useful to note that all Tanzanite is treated by heating the stone to 500 degrees centigrade for color enhancement. This takes it from a nondescript brown to a violet or blue.
Because of it's rarity and the stone's beauty, there is a high demand for quality stones. This in turn results in people substituting synthetic or other stones for authentic Tanzanite. These substitutes are often mounted in excellent setting and generally require an inspection by a qualified gemologist to determine their authenticity.
There is a filter that will allow for the initial separation of real from synthetic stones, but it requires that the stone be unmounted.
Secondary gemological tests – such as magnification, determination of refractive index, short-wave fluorescence and specific gravity – are needed on suspicious gems.

The average jeweler or pawnbroker has no way of authenticating Tanzanite.
Therefore you need to buy from someone you know and trust, or from a source that is verifiable and well established