If you get a chance watch the Kingdom, does a reasonable job at highlighting the unique nature of this place it's oil politics money and the rest.
The easiest way to sum up Saudia Arabia in terms of tourism is, tourists are tolerated not welcomed. Yes, it sounds a bit harsh--but the fundamentalist politics of the country don't make for easy going in this part of the Middle East.
Spread out over some 2.2 million square miles, Saudi Arabia is a land of some 26 million people, which are predominately Muslim. Non-Muslims aren't allowed to such famous places as Mecca and Medina, although getting around the rest of the country can be quite difficult.
It isn't as if there isn't a decent infrastructure, the country is connected to Bahrain by the King Fahed Gateway, and most other roads are in decent shape. The hassle, especially since women aren't allowed to drive, just isn't worth driving on your own.
Flying is one of the best ways to get to different areas in Saudi Arabia, and the rail service offers 3-classes of service if you've decided to go that route. Ferries and dhows are also available to get around by water, nice since the country borders the Red Sea.
The Corniche Road around the Red Sea is stunning; a most beautiful way to do it is by bicycle. Women, by the way, use cycling to get around much of the country because of its driving restriction.
Non-Muslims might not be allowed to see Mecca or Medina, but everyone is welcome to see the ottoman architecture in Jeddah, the ruins of Medain Saleh with its carved temples, and shop at the many souks.
Ladies should remember that an abaya (a black robe) is required if you're going out in public--but the veil over the face and gloves on the hands are optional. The Wutawwa, or religious police, are all over the place to make sure you're covered up, or the opposite sexes aren't intermingling and/or acting inappropriately.
The weather in Saudi Arabia isn't all that welcoming either. That is, unless, you like it hot. Winters are the most pleasant time to come, often cooling off enough to actually enjoy it.
You won't find much nightlife in the Western sense, as music and alcohol are forbidden. The best you'll find is traditional Saudi drumming or sword dancing.
Eating, however, should count as entertainment since the food's so good. Try some hummus with pita, or locally made kebabs. During Ramadan, it is illegal in Saudi Arabia to eat, drink, or even smoke in public.
A lot of things might be illegal in Saudi Arabia, but not visiting outright--so enjoy what you can while you're here.