The Red Sea is worth the trip. The waters are crystal clear, and if you wake up very early in the morning, the water is like glass. You can walk out onto a pier and just look into the water, and you feel like you are in an aquarium.
There is an abundance of shopping with all major department stores, but get away from there, all that is in the states. Go to the Souks or marketplaces instead, The gold Souk in Jeddah is enormous, it is best to bring someone with you that speaks Arabic, as most of the vendors here do not speak English, so it is difficult to haggle if you are alone. There is also a main marketplace, where there are many things to shop for, antiques, fabrics, jewelery, and tchotchkes. There is a whole marketplace of just antiques, just ask your driver and he will take you there.
The diving and fishing are well worth the whole experience. I do not fish, but the diving was uncomparable to any other place in the world.
Quick Tips:
Not the easiest country to get into for Americans, single women are not allowed to enter the country, or should I say very rarely unless you are an employee of a Saudi family. Married women can accompany their husbands, but cannot travel alone. You need a letter from an official, either a sheik or a Prince to enter. Women need to be covered from head to toe.
The consulate can be a bit difficult in Los Angeles, but generally will process a visa within a day if all your papers are in order. You also have to sign a release stating that they can put you to death if you do anything against their customs....especially drugs. Do not bring magazines with pictures of women in bras, bathing suits and especially not naked in anyway. Pornography, alcohol, and drugs are not tolerated. The magazines will just be taken away.
Best Way To Get Around:
I was working, so I had a driver from the family I was working for, but I believe the taxis are prevalant and an easy way to get around. If you have an international license, you probably can rent a car. Stay near the Red Sea. There are many boats that will take you out diving, and fishing. It's best to have a guide for this. The Hotels can set you up very easily.