Inform your credit card company about your travel. Try to use one of your cards throughout. If possible when your return ask for a new card with a new number on it. Make sure you have intn'l roaming in case your bank wants to contact you when you use the credit card in Malaysia.
KL airport is away from the city. It is also a big airport. Keep sufficient time to reach city and back to airport.
In shopping malls esp on electronic goods, you can bargain to some extent. Do a price comparison across different shops as each mall will have many shops carrying the same product.
Do not entertain any conversation if anyone approaches you to swap their currency for Indian money saying they are travelling to india shortly and would like to take Indian currency with them. Direct them to money changer that will be quite common in malls. In crowded places esp touristy spots, exercise caution with your belongings.
You can take a city tour that may cover their palace, twin tower, etc. You can also visit Batu caves, it has a Hindu temple. If you have time try Sunway lagoon. Expensive to stay but it has a decent theme park, mall and a water sport area. You can spend a day there. You can visit Genting highlands (2 to 3 hrs from KL) if you want to try the casino. The theme park is not that good.
In small eateries, you will see Tosai in their menu. It is our Dosa If you are conversant in Tamil, you will feel at home in Indian localities.
My HDFC Debit card was blocked after I used it in KL once. I was not able to do any other transactions after that.
The card was unlocked as soon as I came back to India. Infact, When I went to withdraw cash from HDFC ATM at Bangalore Airport @ morning 3 after I landed, I received a call from HDFC Bank Chennai. Informed me that my card was blocked due to security reasons.
So make sure, as suggested above -- Inform the bank of your travel plans.
ICICI and RBS both issued me new credit cards on visiting Malaysia. Its apparently on the list of high risk countries.
Checkout hotelscombined for Hotels in your budget. Malaysia has a lot of hotels so you should be able to get a good deal.
I remember seeing Matrix international sim cards being sold at airport in Chennai. They had a counter after you cross immigration check on the way to boarding international flights. This information is a year old though..
Yes, you get SIM cards at the airport, as well as in the markets etc. as well. I bought mine off a small shop near my hotel. India is the only country probably which has stupid SIM activation rules. Most countries you can buy a SIM card off the counter with the worst case scenario being giving a photocopy of your passport.