If you are flying into Dhahran, it is mostly a Military airport these days, so security of your aircraft should not be a big concern at all. Most GA and Airline is sent to Dammam (OEDF), about 45 minutes from town and even there security is good. There is no shortage of "N"-registered aircraft permanently based in Saudi Arabia (some of them operated by locals).
The Eastern Province of Saudi Arabia is considerably friendlier than Riyadh, and expats are basically everywhere (thanks to this being Saudi Aramco's headquarters). If you are going right into Dhahran, the Dhahran International Hotel is convenient and "right there" at the airport. Otherwise, there are numerous other excellent hotels in the Al Khobar area, where I would think expats would feel a little more comfortable than in Dammam. There isn't much in Dhahran-proper-- Dhahran is little more than the Air Base, the Aramco Camp, the US Consulate, and the King Fahd University of Petroleum and Minerals. A corporate pilot friend of mine has stayed at the Holiday Inn a number of times, and there are even more plush 4 and 5 star locales right in Al Khobar such as the Le Meridien (a fantastic property) and others.
As far as Bahrain goes, if your visa allows you multiple entries into Saudi Arabia (remember, you are leaving the country when you cross the causeway) and assuming you can work out the rental car issues, it is a more Westernized environment, but not absolutely necessary. Bahrain is also more expensive than KSA. The Eastern Province is OK for a couple of days if you don't mind doing without liquor. By the way, if you are into sightseeing, the Aramco Exhibit, just outside the Saudi Aramco Dhahran camp is a very interesting and worthwhile museum about the petroleum industry and is considered by many to be the best museum in Saudi Arabia. You could easily spend a few hours there.
PM me if you have any more detailed questions and I will try to get you the answers.