Update Dec 2020: Now you have to pay for tickets to visit Madain Saleh, Good thing is that you have proper tour of the place, with tourist guide for each bus. Unfortunately, 3 sites are included now, which may increase in coming months.
Madain Salih (City of Prophet Salih (PBUH)), situated almost 750 KM north from Jeddah, 300KM from Medina. The City is mentioned as Al-Hijr in Quran with several other perished nation's cities. Below information is for visitors looking for some more details about this place:
During time of prophet Salih, Thamud was a famous tribe, who were named after their forefather Thamud, the brother of Jadis. Both are the sons of Athir bin Iram bin Shem bin Noah. They were Arabs, lived between Hijaz & Tabuk. They lived after the people of 'Ad and worship idols as 'Ad did. The prophet Mohammed PBUH passed this place, when he went to Tabuk.
Allah sent among them a man from among themselves as His messenger. He was Salih bin Ubaid bin Maseh bin Ubaid bin Thamud bin Athir bin Iram bin Noah. He called them to worship one God and not to associate any partner with God and to shun all their idols and their false worship. Majority of people rejected him. They tried to discredit him and slander him, and they even tried to kill prophet Saleh. They killed she-camel which Allah sent to them as evidence to the truth of Saleh's mission. Allah Punished them severely and destroyed them.