In short
Hegra — Mada'in Salih — is Saudi Arabia's first World Heritage site. It is a Nabataean necropolis of more than a hundred tombs cut into sandstone, contemporary with Petra and built by the same people.
Where Petra receives thousands of visitors a day, Hegra takes a few hundred, by booking.
What it really costs
AlUla is expensive: its accommodation is new, aimed at the high end, and the budget offer remains thin. The domestic flight from Riyadh or Jeddah is on top.
The sites are visited only by official guided shuttle, booked ahead. You do not move freely through the archaeological zone.
What nobody tells you
Hegra is accessible only on a booked slot, limited in number. Turning up does not work, and slots go several days ahead in high season.
The season is short: from May to September the heat makes the sites unusable by day. Everything happens between November and March.
The contrast with Petra is also one of price and silence: the same Nabataean work without the crowd, but in a country that costs more.