Been to KL several times, live in Borneo :-)
I'm not a massive fan of cities generally however, in KL we enjoyed the bird park and Batu Caves temple but we mainly go there for shopping and the climbing wall - you probably don't need to travel to KL for IKEA! So I'll let others advise more on that.
On Borneo, I highly reccomend Mulu for an easy way to walk in real jungle (if you stick to the boardwalks), amazing caves, boat along the river and some serious jungle hikes if you want them. We are going for our 3rd visit next weekend! Also in Sarawak look into Kuching, lots of things to do from Bako national park (lovely hiking and wildlife), orchid garden, pretty waterfront, colonial architecture and apparently the cultural village is good too although we haven't been several local friends have recommended it. The Orangutang centre there is OK but absolutely nothing else to see or do there now (all the trails are closed) and they close it outside of the feeding times - I much preferred the one at Sepilok in Sabah. Miri has Niah Caves nearby and the Lambir Hills national park. Also in Sarawak look into visiting Bario, in the interior, a bit off the main tourist trail but a wonderful place where the village are taking on the modern world on their own terms and visitors to the home stats are treated like family.
In Sabah look into trips on the Kinabantangan river combined with Sepilok. If you can afford Danum Valley it sounds fabulous! If you scuba dive visit Sipidan, Mabul and Kapilai - try to stay offshore though, Semporna is a bit of a dump in my view although the seafood is good! Of course there is also Kota Kinabalu, the islands offshore are meant to be very pretty and Mt Kinabalu sounds like a great hike but I'm afraid I haven't yet done either!
Brunei has a fabulous hotel called the Empire Hotel and also has some good wreck diving. I'm afraid I don't know what the onshore attractions are.
I hope this gives you somewhere to start from.