Frangipani for dinner (or before midnight) - gay crowd and expensive. It's in the Bukit Bintang area but hard to find. Get address, and ask for directions.
Fri/Sat @ Liquid (LRT: Pasar Seni). Int'l/mixed crowd.
Sun @ Bliss/Atmosphere (Bliss Boys) at TwelveSI (Jalan Sultan Ismail/Jalan P. Ramlee aka Nightclub Zone - down the street from the Mandarin Oriental). Dress code - no sandals, no shorts, no t-shirts.
Also check out the new Zouk KL (also near the Mandarin Oriental) which, like its bigger sister in Singapore, has gay-themed nights at Velvet Underground.
I adore the Mandarin Oriental. The Shangri-La is also close to the Nightclub Zone. Regent and Ritz (also Westin and JW Marriott) are both in the Bukit Bintang area a little further down. And Renaissance is further up. And if you have SPG status, the Sheraton Imperial is even further up. All of these hotels are on (or slightly off) the same main drag - Jalan Sultan Ismail. I wouldn't go with the Pan Pac for such a short stay because of its inconvenient location.
If you haven't been to KL and you'd like a bird's eye view, take a cab to Menara KL/KL Tower and go up. The view is spectacular (on a clear day). Also check out the Petronas Twin Towers; amazing architecture. As in Bangkok, almost no one walks outside for an extended period of time (it's unpleasantly hot and humid). Luckily, the subway/light rail/monorail system takes you everywhere but use cabs (very cheap) when necessary.
Go to Bangsar (cab) for expat bars/clubs and some good local restaurants serving hawker-style food (open 24 hours). Everything is located on two parallel streets and the atmosphere is a blast. Check out hotel restaurants for high-end dining: Shanghai/Third Floor @ JW Marriott, Lai Po Heen @ MO, etc.
High-end shopping is great at Lot 10/Star Hill in the Bukit Bintang area and Suria KLCC at the base of the Twin Towers (next to the MO). Local crafts and cheaper stuff can be had at Central Market and the night bazaar in Chinatown/Petaling St.
Everything in KL is dirt cheap coming from the US, more so coming from the Euro-zone!

Enjoy your stay!