Well for most of those Malaysia is very Westernised, especially KL. It always has been, being a British colony, and still is being full of ex-pats and bordering Singapore which has English as its national language and where many English-speaking companies base their Asian HQs as a result.
There's no real faux pas like in the Middle East and most are generally easy going. The worst you'll get is people wanting to take photos of you because you're such a pasty ***, but that's about it and only if you venture to remoter areas.
If you want pointers on what to see and do then let me know what you're into and how much free time you'll have.