I've done the train from KL to Bangkok once (changing in Butterworth, near Georgetown) and it's fine, though I'd be partial to a 24-seat VIP bus for a route like KL-Penang.

The big thing about KL, though, is that it's the biggest hub for Air Asia, which has cheap flights all over Malaysia and southeast Asia out of KL. I know Cambodia is definitely do-able that way and Burma probably is as well. Once you look at sidetrip possibilities you're spoiled for choice.