Many valid points above - I wouldn't panic too much though over Saudi crossing - I have done it and experienced no problems at all - so long as your paperwork is in order it's just fine. One thing no one has mentioned is that you will either need to "export" your car permanently or you will need a "Carnet du Passage" from the Automobile Touring Club here in the UAE - which involves a sometimes sizeable refundable deposit...when you bring the car back you get your money back. This document gives you passage through countries without having to pay crazy taxes. In fact some countries will simply not allow you through without it. The other thing you must always do is arrange local temporaray car insurance at each border to cover the duration of your transit through that country. You will need a Visa to transit Saudi and depending on your nationality as the previous post points out you may need others along the way.
If you decide to have your car transported through Saudi on a multi-car transporter they are readily available and rather cheap in the Sharjah auto area.