I can recommend shopping in the Golden Triangle, the area of town by Jalan Bukit Bintang and Jln Sultan Ismail. I think the names of the best shopping are Lot 10 and Sungei Wang Plaza. But there are many other shopping malls in KL. As for going out, my info is kinda dated, so I'd take a look at www.fridae.com or elsewhere for more current info.
Hotels: Be careful of the Renaissance, since it's actually two hotels in one: The New World and the Renaissance. The cheaper wing, while still allowing you to use the great pool, etc, is really a dump and is to be avoided. I stayed at the Pan Pacific a few years ago, and unless it's been really upgraded since, I'd stay away even if it is cheap.
The Regent is nice and has a great location.
Just about 2 blocks from the Regent, though, is my favorite hotel in KL: The $33 per night Hotel Capitol, which is in good shape, in an excellent location, and near good breakfast choices (there is an Au Bon Pain around the corner).
So you could save probably $65 per night over the Regent.
The Shangri-La is also quite nice, but in a location more appropriate for business.
Have a great time!