I live in KL, I would say it's depend on the stuffs you are after. For souvenirs, gifts Bali and Phuket would be cheaper and have more choices. On foods, I would recommend KL because you can have many varieties to choose from Continental, Asian, European, American, Japanese, Chinese, Indian, African, Egyptian, Middle East, etc.... but please remember must try local dishes like satay, rendang, nasi lemak, cendol, etc...