Heat oil in a small nonstick skillet over medium-high heat. Add paprika, 1 1/2 teaspoons cumin, 1 1/2 teaspoons coriander, garam masala, turmeric, and red pepper to pan; cook 2 minutes or until fragrant, stirring constantly. Remove from pan; cool.
Place onion, ginger, serrano pepper, and garlic in a food processor; process until smooth. Add spice mixture, 1/2 cup yogurt, 2 tablespoons juice, and 1 3/4 teaspoons salt to onion mixture; process until smooth. Transfer mixture to a large heavy-duty zip-top plastic bag. Cut 3 shallow slits in each chicken thigh. Add chicken to bag, and seal. Toss to coat. Marinate in refrigerator for 8 hours or overnight, turning occasionally.
Combine remaining 2 cups yogurt, 2 tablespoons juice, 1/2 teaspoon cumin, 1/2 teaspoon coriander, and 1/4 teaspoon salt in a bowl, stirring well. Cover mixture, and chill.
Remove chicken from bag; discard marinade. Place chicken on a grill rack coated with cooking spray. Grill 7 minutes on each side or until done. Serve with yogurt mixture.
Delicious! My whole family enjoyed this dish with brown rice and steamed broccoli. I baked it (covered) in a 350 degree oven and it came out very tender and delicious - the marinade ended up making a nice sauce for the rice. The yogurt sauce recipe makes a lot - we used less than half of it - although you could save it for other recipes (would go well with shawarma). Easy to make ahead and then just throw in the oven or on the grill - will definitely make this again!