It would be a pity not to walk and climb along the ancient Nabatean pilgrim paths. You can climb inside caves, climb up hills passing unfenced aramaic inscriptions.
Hamid, the tourist guide of the Hotel, will encourage you to participate.
Equipment: - hiking shoes not required but solid firm shoes
In winter, it gets too cool to do sandsurfing on that historical hills just right off al-Ula city. This small town actually is a hilly area, surrounded by giagantic mountains and deserts. The desert sand is adorable, soft, cold and just flow smoothly if you pick up some in your hand.
Equipment: Soft big tyres for sliding
Durable long pants (cotton pants may get torn out)
Heavy sweaters for winter, light shirts for summer slinding
Boots if you don't like to be filled with sands, plus long socks
At night, bring big flashes and one of these tiny machines that detect rocks or stones while driving.