Before you go...
Favorite thing: Before you go to Mada'in Saleh, some advance planning will be necessary. First, admission into the country itself is difficult. Tourist visas are limited to tour groups organised by officially designated tour operators who typically have a government approved itinerary and tend to be rather expensive. It is the only and simplest way into the country if you have no other reason to visit, plus any itinerary will likely include Mada'in Saleh. The beauty of this method is that everything will be organised as needed.
However, if you happen to be in the country on a business or a visitor's visa and have a couple of days to spare, you could visit on your own. Just remember that for non-Saudis a permit must be obtained in advance and the process typically takes one week. If you spend a night or two at one of the two hotels in al-Ula, they could arrange for the permit in advance. Once the permit is obtained, then non-Saudis must be escorted into the site, usually by an official guide, which can be avoided if you happen to be going with a Saudi national. Although entry into the site is free of charge, the permit costs about 100 SAR (~$27). Saudis do not need a permit or an escort to visit the site.
There is a police checkpoint at the entrance of the site. Passports and proper documentation are thoroughly checked before entering. And yes, you can bring your own car into the site with no pre-arrangements, but the police will note down its number and model.
References & Further Reading
Favorite thing: Routes d'Arabie, archéologie et histoire du Royaume d'arabie saoudite (published by Somogy and Louvre).
The Nabataean Tomb Inscriptions of Mada'in Salih, by John F. Healey (Oxford University Press)
Favorite thing: A. For a Saudi National, permit to enter Madain Saleh Nabatean Tombs is not necessary but for foreign Travellers permission is required from the Department of Antiquities and Museums ( Travelling on your own/ Free lance Traveller)
Below are the requirements:
1. A formal letter of application signed by the applicant's sponsor
2. name, nationality and passport number of every passenger and the number of cars
3. The proposed date of visit and duration of stay at the site.
**You can persoanlly hand in the application letter or mail it to the Director General of the DAM**
Address: P.O. Box 3734, Riyadh 11481
Tel No: 4115777 ext. 233
Application may take atleast 2 weeks but a personal visit may expadite the process.
B. However, if you plan to travel on a group tour and will be arrange by a local tour operator,
send copies of their passports and expatriate residents copies of their residence permits two weeks in advance to the hotels for this purpose.