IMO the only part of Malaysia worth visiting is Sabah on Malaysian Borneo. There are some gret hotels around Kota Kinabalu, you can do day trips to the Orang Utan sanctuary at Sepilok and the North Borneo rail line is a good day out too.
KL has to be one of the most soul-less places on the planet. We went to the tourist office and asked what there was to do (we did the twin towers and menara and didn't want to visit mosques) and they said "shopping, just lots and lots of shopping". Which is fine, if you want M&S, Mango, Zara, French Connection...oh yes, you might as well be in Blanchardstown!
Penang is like the Costa del Sol..not a whole lot to recommend it. Some people rave about Langkawi but haven't been so can't comment.