I have visited KL about a dozen times on my way to India and back to Los Angeles. There are some good bargains If you research and plan in advance.
Shopping Tips:
Go during the holidays such as Deepavali and or Hariraya. Everything is on sale.
There are numerous malls everywhere. But the best deals can be found at Mega Mall and at KLCC. There is also nice Indian restaurant here.
ChinaTown also has some good deals as well as Little India.
Little India - Globe Silk House, Moinuddins, Cash & Carry and other small shops. There are also good restaurants here.
I found KL International Airport duty free shops more expensive than other stores in the city. Please look around before you buy.
Sight Seeing Places:
Petronas Towers - Best
KL Tower - Best
Genting Highlands - OK (Personally I feel it is overrated that is because Las Vegas is only a 5 hour drive for me).
Melakka - Good for Side Trip
Penang - Good for overnight stay
BrickField - Lot of expatriate Indian families. It is a mini Madras
Hope you enjoy.