I was based in Singapore for 7 years, spent the better part of a year on assignment in KL, and very nearly moved there last year until a more interesting opportunity cropped up. Here's my lowdown.
Things that are better in KL than in Singapore:
+ Singapore is pretty cheap by Western standards, but KL is even cheaper pretty much across the board: housing, eating out, groceries, cars, you name it. Only imported products and most types of booze are the same or occasionally even more expensive.
+ A house of your own is unaffordable for the average expat in Singapore, but eminently feasible in KL.
+ There are lots more interesting places within immediate striking distance of KL than there are from Singapore. Malacca, Ipoh, Genting, Fraser's Hill are a short drive away, and eg. Penang and east coast Malaysia are within easy weekend trip distance.
+ KL is edgier and less bland than Singapore, in both good and bad ways, but all in all odds are you'll feel a bit more like a local and less like a dime-a-dozen expat.
Things that are worse in KL:
- If you want to live in KL, you pretty much have to have a car. I didn't, and it was pretty constraining at times: public transport is limited and taxis are pretty dysfunctional.
- Traffic can be a nightmare, and the standard of driving can be atrocious.
- KL is not as safe as Singapore: you need to keep a sharp eye on your belongings and there are quite a few places where I wouldn't go walking around at night.
- Hygiene is not as high as in Singapore. In Singapore, you can eat and drink pretty much what you wish; in KL, you can almost but not quite do so.
- Malaysian bureaucracy can be pretty bad and business dealings murkier.
- KL is a smaller and poorer city than Singapore, which limits your entertainment options somewhat, and expat circles are smaller.
- Flight connectivity from KUL isn't quite as good as it is from SIN, esp. for business purposes (or collecting frequent flyer miles!), although for cheap getaways it's hard to beat Air Asia.
For half a year or so, I'd say sure, go for KL if the above sounds OK for you. But for eg. starting your own business or raising a family, I'd have to say SIN wins hands down.