It looks like one of the interspecific hybrids of Salvia longispicata x Salvia farinacea.
Either
Sage (Salvia 'Indigo Spires')
or its dwarf mutation
Sage (Salvia Mystic Spires) (cultivar 'Balsalmisp', aka "Mystic Spires")
I believe that there is also a new hybrid with similar parentage but I'll have to search for the name of that one. I've only seen a photo of it.
How long have you had the plant and how tall does it get?
