I'd recommend heading to Jalan Alor for some authentic street food and very good prices. A trip up to Marinis on 57 will get you some wonderful views of the twin towers and the park. They have a high speed elevator that will get you up there very quickly. As far a sightseeing goes they do have a "hop on/off" bus that will take you all over town too. KLCC is now linked via an airconditioned walkway to the Pavillion mall which takes no more than 10 mins. If you're in to nightlife then Changkat Bukit Bintang may be a good place to start.