Malaysia is generally safe for tourists. Kuala Lumpur has low violent crime, but petty theft (bag snatching from motorbikes in busy areas) is a concern — carry bags on the side away from traffic. The Golden Triangle and KLCC areas are generally safe day and night.
Eastern Sabah (near the Philippines border, particularly Lahad Datu and Sandakan areas) has had historical kidnapping incidents — check travel advisories before visiting. Water quality varies; stick to bottled water outside major hotels. Dengue mosquitoes are present; use repellent especially in forested areas.