I used to get this question a lot from my friends, so I thought I would post a couple of pictures of my new abayas that I bought from the Kingdom coffee morning. It's worn over your clothes and typically made of crepe. It covers your body from the neck down and while it's not a legal requirement to wear them, you would be the only woman not doing so in the entire city, so social pressures and the prospect of being harassed by muttawa and saudi men is enough to motivate expats to respect their cultural traditions. Non-muslim expats do not wear headscarves except during Ramadan, out of respect for their holy month. Most Saudi women wear the trio of abaya, headscarf, and niqab (face veil).
Oh by the way I got my friend to model my abayas for me because she doesn't mind the attention.
The abayas with hoods are typically only worn by western women, so that they can cover their heads with the hood instead of carrying around an extra scarf if they get stopped by muttawa
*edit - for more info on where to buy one, click here*
2 weeks ago