I would think very carefully about the move and do a lot of research before making any decision. I have worked in Saudi (many years ago and pre 9/11) and was offered a role about 4 years ago but after looking into it I declined it for the following reasons:
1. Culturally I don't think my family would have accepted or enjoyed the sometimes strict interpretation of Shariah law, including how women are not allowed to drive unaccompanied (although this may have changed).
2. This was reasonably soon after the second Gulf War and the situation was tense with attacks on Westerners many of which were never publicised.
3. The compound/ghetto syndrome. Having worked extensively overseas I have often seen ex-pats who very rarely leave the compound or site where they and all the others live. They become very insular thereby enhancing any localised tensions that might exist (and they do in Saudi).
You have also got to look at the bigger picture when making a decision like this. Saudi Arabia is actually quite politically isolated in the Middle East due to it's support for Western foreign policy (i.e. US & UK) which has led to an underlying tension which extremist and fundamentalists are exploiting. When you consider the population growth (nearly 40% of the country's population is under 15 years old) and the fact that for years the primary industry has been oil and there is not a huge infrastructure in place to employ the young people of the country Saudi is going to facing huge unemployment. I believe this will lead to civil unrest and possibly even a regime change, the monarchy are not particularly popular over there, another fact exploited by those hell-bent on causing trouble.
If it were me? No I wouldn't go mainly because I have children and a fiercely independant wife

but your circumstances might be different.