I don't know much about Bangkok but I can share you tips about Malaysia. Am not sure how long will you be in Malaysia or where exactly will you be going to Malaysia, but these are the few places you can check out if you're visiting the capital, Kuala Lumpur (KL).
1. KLCC Tower - This is a must. Walking on the skybridge is optional though. You don't have to pay tickets to walk on the skybridge but you do need to get your pass. There might be a long queue, depending when you come to KL. There's also the KLCC park nearby.
2. Merdeka Square and Bangunan Sultan Abdul Samad - This square carries quite a history of Malaysia. Literally, it is translated into Independence Square. It was where the Union Jack flag was lowered and replaced by the Malaysian flag on 31st August 1957, Independence Day. I'd recommend you to come here at late evening. Therefore, you'd get both views in daylight and night time.
3. Jalan Petaling - Or famous as Petaling Street (PS), is a bargain heaven. If you like cheap imitation goods, this is the place to head for. Fashions, watches, handbags, restaurants, stall food, yuo name it, PS' got it. You pretty much get everthing under the sun here. Make sure you haggle! But beware of pickpockets and be prepared to brace a crowd. Oh yeah, if you're looking for Halal food, try to avoid eating at PS. I'd advise you to head to Central Market as there's plenty of halal food there.
4. Central Market - Looking for souvenirs? Head no where else but here. They have everything that Malaysia has to offer from north to south even the Borneo. you can bargain but you're not gonna get much though. You can still try. Central Market is very near to Petaling Street.
5. National Craft Centre - If you love crafts and arts and those artsy stuff, this is the place for you. No haggling here but you get to see all kinds of cultural heritage and handicrafts. If you come in February/March, thee's a National Craft Festival going on and during that time, you can bargain most of the items.
6. Batu Caves - The cave is up a limestone hill and is one of the most popular Hindu shrines outside India, dedicated to Lord Murugan. The best time to visit Batu Caves is during the festival of Thaipusam, a Hindu festival where you will be enchanted with the Kavadi procession.
7. National Mosque & Islamic Museum - These two buildings are very near each other so it is worthwhile for you to visit both of these landmarks. There's great food athe Islamic Museum although slightly pricy. If you're there, you might want to drop by the Old Train Station. The architechtural design is wonderful.
8. Butterfly Farm, Bird Park, Orchid and Hibiscus Park - These parks are located nearby the Lake Garden. To get to these area, it is a walk up the hill from the National Mosque. If you're going with children and a nature lvoer, then you might want to check out these parks.
9. KL Tower - There's an observatory deck at the top of it. On a good day, you'll get a pretty nice 360 degrees view of Kuala Lumpur. There's also a revolving restaurant up the tower. You might want to try it for experience.
10. Jalan Alor - the best place to eat is Jalan Alor. Caution; it's not air-conditioned. These are stall-like eateries. It's nearby the Bintang Walk. It only opens after dark. Although not many foreigners roam the area (those who do are pretty much expats who's familiar with the place), it is the eating heaven.
The thing about KL is that the traffic sucks big time. Try not to commute around during the rush hour and you'll be quite safe. You can get around KL pretty easy with the Light Rapid Transit system and monorail. If you're short of time but still wishes to go to these places on your own, try the Hop On Hop Off bus around Kuala Lumpur.
The weather is hot and humid. Bring mineral water wherever you go. Beware of pickpockets. But the best thing about Malaysia is the gastronomical experience. You've got to try that out.
If you're staying in Malaysia for a longer duration, then I'd suggest you go for other trips outside Kuala Lumpur. There's plenty of things to do, sight to see, food to eat etc.
hope the information helps you. Enjoy your trip!