Malaysia is quite a large country and deciding where to live will depend on your personal preferences. Currently the most popular places where foreigners choose to live are Kuala Lumpur and Penang. Certainly Kuala Lumpur has the best facilities and is the only city in Malaysia, which comes close to major cities in developed countries. By buying property in one of the many new developments outside the city centre one can enjoy the cities facilities and avoid the higher costs, crowds and congestion of central KL. If you have a bigger budget and want to be closer to all the action then there are some upmarket high rises in central KL or large bungalows available very close to the city centre.
Penang is a well-established tourist destination and has the advantage of being close to the sea with a number of high developments offering sea views. Many people under Malaysia My Second Home programme have chosen to live here.
A little further north the island of Langkawi has attracted a number of foreigners to settle. It is a beautiful tropical island but it is primarily a tourist destination and does not offer a lot more than sun, sand and sea.
Kota Kinabalu in Sabah has seen more foreigners move there than Sarawak. It has direct flights to Manila, Hong Kong, Bangkok and several other Asian cities and is becoming a popular tourist destination for people form those countries. It is a roughly 2½ flight from KL and has plenty of sea and beaches and plenty of natural attractions.