The Westin definitely has nicer decor and seems more contemporary and upscale than the Sheraton Imperial. I've only stayed at the SI, but I didn't like the old-ish decor and the beds were very hard. I mean to check out the Westin next time. Hard to beat the Heavenly Bed.

Location-wise, the Westin is on the main shopping strip of KL, Bukit Bintang. The SI is a few monorail stops away. Both are not far away from the Twin Towers. Familiarise yourself with the public transport in KL (quite decent IMO) to avoid getting stuck in the traffic congestion.

Le Meridien...only stay there if you happen to be stopping over for a night in KL as it's located at Sentral, the terminus for the KLIA express.