@Amit
Cost would vary from Rs.25K to Rs.1L as per the advocate's experience and popularity in the court.
Also when anticipatory bail is granted, it is granted to protect you not from any police but from arrest. So even if you take anticipatory bail from Delhi, it would be valid in Tamil Nadu.
But anticipatory bail could only be taken from the state where FIR has been lodged. If FIR is loged in Gurgaon, then you have to approach Gurgaon Sessions Court for Anticipatory bail and if rejected then appeal to the Punjab & Haryana High Court and then Supreme Court. If the FIR is registered in Delhi then you can appraoch delhi courts similarly.
Also as the naem suggests, this is not actually a bail but a bail order which covers you from arrest. When you a re anticipating arrest you take an order from the court to give you liberty that even if case is registered in near future and your apprehension turns true and police wants to arrest you, then they'll have to release you on bail. Additionally, anticipatory bail is more stronger than regular bail.
//peace
/Saurabh..V