What we (Westerners) refer to as Kuala Lumpur is, in fact, called the Klang Valley. It sits right in the middle of two states: Kuala Lumpur, in which the relatively tiny city of Kuala Lumpur is located, and Selangor, in which Petaling Jaya is located. It represents a massive geographical area in which inhabitants regularly cross over from on state to the other while going about their daily lives (from one or two times a week to twice daily). It is also a huge multicultural centre: inhabitants come from all three national ethnic/cultural backgrounds (Indian, Malay and Chinese) as well as all parts of the world (expats, modern immigrants, traditional immigrants).
Most expats and modern immigrants end up working, going to school or living in one of the following areas: Mont Kiara (KL), Kuala Lumpur (KL), Damansara/Bangsar (KL), TTDI (right in between KL and Selangor), Petaling Jaya (Selangor), Bandar Utama (Selangor), Subang Jaya (Selangor). People with similar budget, job and/or school requirements end up living near each other because going from one place to another can be quite far.
It is, however, ridiculously small socially. You will find that everybody knows everybody and business is pretty much the same thing as social life in the applied culture. My first social tip is therefore: watch how hard you party when you first get here. Whatever you do during the first few months will follow you around forever via the rumour mill. I mention this because the nightlife here is extremely active and you will find that it is extremely easy to get pulled into it in one's eagerness to meet new people or via one's job (business gets done at night a lot).
I know of a woman who got hired as a bar manager by a company for which an acquaintance of mine works as an area manager. She lasted all of 6 months in the position and city due to that very fact. She made the mistake of being sucked into the party lifestyle to the extent of visibly sleeping with a lot of different men (some of whom where customers of the company's) over a relatively short period of time. That shattered her professional and social reputation and she had to leave to go start over elsewhere. Trust me, it would have been the same if she were a man. The fact that I, a person who has never laid eyes on this woman and is not particularly prone to gossip, am aware of this single fact should show you just how far the rumour mill reaches out to.
If you are moving here with kids, especially teenage ones, my second social tip is: be wary of their lifestyle and associations. As an international high school employee here, I am more than a little aware of how much some teenage expats party with alcohol (and sometimes drugs) as well as from how young an age. This is regardless of whether the parents condone it or not. The places they go out to are usually unsafe unless it is a house party and even then...not all parents have the same views on how much freedom to give one's children.
This brings me to my third social tip: do not assume that Malaysia, as a Muslim country with strict drug legislation, does not have a drug problem. In fact I would say it has more of a drug problem than some due to the total unawareness of it generated by that very common selfsame assumption. The reality is that the local system is unfortunately sufficiently corrupt for the inhabitants of the Klang Valley who know how to work it to manage to get away with quite a lot, including drugs. Tip number four is therefore: look out for the signs in the people you meet, you will be amazed at how many exhibit symptoms of regular cocaine consumption (just an example).
As I mentioned: culturally, in Kuala Lumpur, business and social life are very much the same thing. I know many expats and modern immigrants who have adopted this lifestyle, either knowingly or unknowingly. This means that everyone you meet who has been here over a year is likely to value you for how much use you can be to them, whether through your job, knowledge, skills or social connections, rather than how much they like spending time with you as a person. If that is also how you operate then great: you will love it here. If, on the other hand you enjoy having a few friends who do not seek to spend time with you for the purpose of keeping you on hand if ever you can help them with something then you will find it tough to connect with people and make proper friends.
I, sadly, fall into the latter category of people and find that, after 3 three years, I have only met one person that I have been able to make a true friend out of. This makes things rather lonely whether you are single or here with your other half/family. My fifth social tip is therefore: be proactive about meeting all sorts of new people early on but be wary of their motivations.
It is very hard to meet people outside of work here unless you really go out and try to find them. It probably has something to do with the fact that the cultural scene in this town is nowhere near as active as so many other big cities. You have to go out and find it. So how can you meet all these people? Thankfully there is the internet. My sixth social tip is this: think about your interests and join meetup groups, activity clubs (golfing clubs do not count as they are work related) and small creative/cultural affairs.
If sports and/or fitness are your thing, join a dance class, a social club or a meetup group (meetup.com) rather than a gym. There is a British originated thing here called hashing. It is a social form of hiking: they set a trail and you have to follow it, it usually takes place in one of the remaining bits of jungle dotted around in between patches of skyscrapers. Some trails are tough, others are easy (depending the the hash club's standard). Sometimes the trail is broken on purpose and the hashers have to work as a team to find where it picks up again without loosing anyone. The hash always ends with beers and food as well as a few hash club social traditions (worth discovering). That is a great way to meet people and actual potential friends.
If you are more creatively inclined there are things like art jams (show up, pay a fee...RM30 to RM200 depending on the place, sit down and paint something on a canvas alongside other creatively minded people), open mic sessions, live music bars (the Bee in Publika and Jaya One being one of the best).
If you like mind and body healing or the likes, there are many meetups (meetup.com) related to this. You can also find meetups for board games, books and poetry, philosophy, languages, food, etc....
If you are fortunate enough to be a high pay grade type expat then subscribe a membership to a place like the Bukit Kiara club (great for putting kids in a horse riding class or other extra curricular activities.
Of course if you have kids you will meet other parents quite easily, however, the exclusively expat social world is also very business centered and may, at times, feel even smaller than the town's social world (and remember that was already quite small). Again, that is great if that is your preferred lifestyle and social environment but don't say I didn't warn you when you find that you cannot make a single movement without everyone of your acquaintance being aware of it.
My mistake was not being proactive enough with those non work/kids' school focused options, now that I am making an effort to go out and try some of them, I have finally made some acquaintances who are not trying to sell me anything or to use me for any future benefit at all. Although those do still lurk around everywhere I go.
This is by no means an exhaustive account of what you may expect here and, although I have tried to make it as objective as possible, may not be all that unbiased. I do think that a few of the things I have mentioned are things which do hold true for everyone despite the fact that some may never have noticed them as I had not for quite a long time.