KL is a cool city, and a great place to begin a trip to SE Asia if you are from a non-Asian country. You can find all amenities from home if needed, but you still get to experience the Malay way.
Favourite spots:
The Night Market has the best bargins in town. The Potronus Towers are alright, but if you go, tell the guys at the security desk that you are a student from aborad doing a research project on the buildings. He will take you all the way to the top, not just to the sky bridge.
What's really great:
KL has the best shopping for bootleg CDs and DVDs in either malaysia or Thailand. If you are interested, get them here.
Accommodations:
Pondok Lodge is a FANTASTIC guest house--a roof top patio, fridge, kettle, dorms and single/doubles for a reasonable price. The guys that work there are great too--helpful and always good for a laugh. Be sure to book via email in advance, they were full the entire time.
Hangouts:
Manchester United Pub downtown was awesome during the world cup (I guess that's not surprising?)
Restaurants:
Like most of Malaysia, stay away from anything they tell you will be just like the food from home.