First, "fine" is relative. Religious conservatives have been a major force in turning back progress in countries like Bangladesh. The 1972 constitution envisioned a secular republic, and the end result was . . . something less than that. In particular, a series of constitutional amendments eliminated the commitment to secularism and made Islam the state religion. Over the past few decades, there was been a substantial regression in areas like womens' rights, coupled with an increase in public religiousity.
Second, comparing the Arab states to south Asian muslim states is comparing apples and oranges. To use Bangladesh as an example again, that country has had organized government for almost all the past 500 years, between the Mughals, the British Empire, India, Pakistan, and independence. Meanwhile, Saudi Arabia, while nominally part of several different empires prior to the 20th century, was always on the outskirts of those empires, and was never really an orderly, centrally-administered place. In Saudi Arabia, central government has taken a back seat to tribal power for almost that whole history.
There's lot's of other reasons, obviously. I think a big one is this: http://en.wikipedia.org/wiki/Resource_curse. However, I think it can't be taken for granted the degree to which democracy and good government arises out of the ingrained sensibilities of people.