You'll find lots of small food outlets in and around the train station. The plainer looking, the better. One I thought was good is here. You walk out of the Hilton/LM complex over to the train station. Enter and go down the escalator and just at your left is a little cafeteria-looking place, staffed by two Muslim women. Great food for pennies.

Also make sure you take a short train or taxi ride to Bangsar. That is the new happening place in KL for what I might call "middle class" locals. Lots of interesting clubs, shops and restaurants and not too expensive.