Yes, This stone is a part of a mountine in Al-Ahsa (East of Saudi Arabia)..
I saw some people in Flickr writing some crazy things about it (although all of them were not true)
The craziest thing I read about it is that it floats in certain days of the year about 10cm from the ground ^_^ hahahaha
I live beside this place, and never see this crazy thing happen O_O ^_^
20 Nov 2007: I've already found the pic they are talking about here: www.flickr.com/photos/31573126@N00/17361154/