Ant, I did my PPL whilst living in KL in the late '90s. I did the training at the Royal Selangor Flying Club:
Royal Selangor Flying Club - Decent value from what I remember, operates from Simpang (the original Malaysian airport that's in downtown KL) and good quality instruction. They had a few Cessna 172s and a Piper Warrior which they used for instruction and rental.
Royal Selangor Flying Club Cessna 172:
Flying in Malaysia was a real pleasure with professional yet friendly air traffic control and a fairly easy going approach to general aviation. We were allowed - in fact in some ways encouraged, by the authorities to land and take off at KLIA before the airport was officially opened as they felt a bit of live action was good training for the controllers there. Subang (then the international airport) and Penang would give us a chance to play with the big boys and the landing fees everywhere were pretty minimal.
I then moved to Thailand and in comparison it all became more difficult. I managed to use my Malaysian PPL to get some form of permit to fly in Thailand, but I seem to remember that it was limited in some way. I flew several times at the Thai Flying Club near Pattaya but each time had to take an instructor and ended up just flying up and down Jomtien beach. At the time they just had a couple of aging Cessna 150s and an old Grumman AA5, each of which had a bit more reliance on gaffer tape than I was entirely comfortable with. A lot of the time the general radio communications slipped into Thai which, unless you understand the language, gives you no idea of what other aircraft are in the airspace around you and what they were up to. I realized after a while that I simply wasn't going to enjoy flying in Thailand in the same way as Malaysia, so gave it up.
Thai Flying Club Cessna 150:
Things may well have now changed, although looking at the current Thai Flying Club fleet status on their website it doesn't look too much like it there:
THAI FLYING CLUB -- General Aviation and Sport Flying in Thailand -- AOPA Thailand -- www.thaiflyingclub.com - three of the five aircraft are waiting for parts.
When I was doing my PPL in KL there were a couple of people who were learning simply to do their first solo flight. This took about 12 hours of instruction and gave them 'I can fly a plane' bragging rights without the cost and hassle of doing the test and gaining a full licence.
An easier way to get into flying is to take up flying microlights, there's far less regulation, you fly lower and you spend most of your time actually flying rather than navigating/making radio calls and learning stuff in the classroom etc. If I was to do it again it's probably the way I would go. Light aircraft are fine if you want to go from point A to point B, but to just take off, have a blast around for half an hour or so and return to the same place I reckon a microlight is much more fun.
If you have the chance to learn to fly, and a yearning to do it, then go for it. Doesn't really matter what you do it in as long as you find something that will continue to be enjoyable.
Good luck!