If you want demo sky diving to try first, I can advice a place in Australia. Otherwise there are many operators worldwide, you need to do good research on this though and ask experts.
Dubai is a good option, cause other places which are cheap will cost you more on travelling.
India doesn't have good skydiving camps so I seriously suggest that don't waste your first experience up here.
Dubai has one of the most beautiful sky dive view.
Happy Sky dive :)