there are several interesting destinations (out of many islands surrounding the country). but which type of diving that you'd like to experience, and at what budget? The ones in Borneo are more expensive because their remote locations from the mainland, while the islands nearby are more affordable.
Here's my suggestion.
Peninsula Malaysia :
- Redang islands on the north-east of peninsula Malaysia offers various types of interesting coral reef areas, shallow to relatively deep (average max depth of around 30m).
- Tenggol and Bidong islands is a bit south of Redang, and regarded as the best diving destination in the peninsula (unless you hate underwater currents). Well known for its wall dives and the place to watch big fishes.
- Perhentian & Lang Tengah islands, north or Redang for easy and shallow dives (hardly reaching 28m at most sites). As good as Redang for the diversity of marine life but visibility can be quite punishing sometimes.
Borneo side :
- Mataking island is not for corals but recently getting popular for inverterbrates and large fishes. It's near Tawau (north of Sipadan).
- Miri (an area in Sarawak) hosts many dive sites and these are quite new, and it's popularity is catching up.
Other areas (other than Sipadan, Mabul & Kapalai) :
- are Perhentian islands (Terengganu), Tioman, Aur & Dayang islands (Johor) and Lankayan island (Sandakan-Sabah).