Visited this site in January 2025. 
Day tour (95 SAR) remains the same as described by Tony, Els and Martina, covers 4 clusters and only one tomb (#26) can be visited inside. Nothing to add. 
After that I also took Hegra After Dark tour (200 SAR), which is offered at 18:00 and 21:00 daily except Sundays and Mondays. It is more atmospheric and entertainment experience rather than historical insight. You will be driven by a horse-drawn carriage to a fifth cluster not included into day tour, called Jebel Khraymat. The area is beautifully lit by many lamps. After all people are gathered, something like live performance involving about 20 dressed actors begins. The first part of the show starts in the semicircular square covered by the tombs and then proceeds in a “nabatean market” with more tomb facades on the background. Various traditional canapes, dates, sweets, drinks can be tasted during the show. After approximately 1.5 hours, visitors are brought back to the visitor center by the carriages.  
Another interesting historical tour is Dadan & Jabal Ikmah Tour (60 SAR). It doesn’t cover formally listed territory, but adds additional historical insight on Al Ula. The tour starts from Dadan visitor center with some archeological facts on display and viewing platform with binoculars towards Dadanitic rock-cut burial niches. Two famous tombs are flanked with a pair of guard lions each. The tombs were cut circa 500 years BCE. The bus then brings you to the ancient archeological site of Dadan with active excavations on-site. Located in prosperous oasis, Dadan was one of the most important trading posts in Arabia and was mentioned in the Old Testament. Mainly foundations are currently visible. The final stop is Wadi Ikmah – rock art site collection of drawings and inscriptions dating from various periods. Visitors can try to carve their names in Dadanitic language. 
Taking all three tours (Day Tour; After Dark and Dadan) is quite expensive – 355 SAR, or 95 US Dollars, but would represent true highlight of any visit to Saudi Arabia.