It is hot and humid most of the time when it isnt raining, hence the existence of numerous megamalls where you can walk kilometers indoors in air conditioning. Not really a great outdoor walking city, with some roads quite pedestrian hostile. There are neighbourhoods, each with a specific purpose, so it depends upon your reason for visiting. Traders hotel in KLCC might suit; I usually stay at Central (which is not the city centre but rather the central train station, in the middle of nowhere at LeMeridien or Hilton as they have nice pool and rooms and easy transport. Walking there is little India. Other areas are Chinese, etc.