There is local tourism, and probably people form neighboring countries come to visit. But I think most people would rather visit Dubai or Bahrain 
There are interesting places to see there which have a lot of history. From my experience there were only a few thing one could do in the cities: shopping, visit a park, go to a beach (women in Abayas 
) or visit relatives. There is a lot of Islamic and pre-Islamic history there, but for a long time tourist visas were rare. But seems like things are changing
The Associated Press: Digging up the Saudi past: Some would rather not