Anti-blocking software

I don't know how to do it, or if it is even possible. However, you may want to check up on the possible consequences if you get caught doing so. Especially if, say, you want to avoid their blocks to go to porn sites or the likes.
I can imagine that Saudi Arabia have some really severe types of punishment for seemingly harmless "crimes" that you really do not want to try out.

 

Your best option is a commercially-offerred encrypted VPN tunnel, preferably one that uses the OpenVPN protocol, rather than the more easily-blocked PPTP/L2TP. There are some that offer access on a per-month basis, which may be more suitable for a short trip, but if you're likely to be there for a while, I'd highly recommend www.witopia.com. They offer PPTP and OpenVPN/SSL products - get the latter one. Or for example if you also want VPN service on an iPhone as well as your Mac (the iPhone only supports PPTP) then you can get the combo PPTP & OpenVPN package.

In terms of OpenVPN clients you can choose from Tunnelblick, Viscosity, or Shimo. Viscosity is the best and costs $9 or something like that, although if you take out a Witopia OpenVPN subscription you'll get Viscosity included free.

Reason why I recommend Witopia, as well as being a happy user, is that it has a LOT of alternate servers (a whole bunch in the US, a bunch in the UK, also Ireland and Hong Kong) and you get access to all of them. This makes it less likely that access to them will be blocked.

If you require a free solution, you can try Tor, but the speeds aren't likely to be as good. Or you could try the ad-supported Hotspotshield, which may be OK for occasional use, though am not sure if it specifically is blocked in SA - http://www.hotspotshield.com
You could also use web proxies that may work to get you around blocking of websites, but your communications would still be open to interception within SA.
Or if you have a dedicated machine in the West that will be on 24/7 and you have access to, you could set up a VPN server on that.

Like I say though, if you can afford the $60/year for Witopia VPN, in my mind it's the best way to go....

 

Don't listen to a 'bloke in the pub' on this, if you risk breaking the laws of the country you are visiting then get legal advice.

People are imprisoned for very long periods or physically punished in Saudi Arabia for things considered normal in western countries.