Hey LEP, As an expat who resided in KL for 5 years before moving closer to the water :14: I did a fair amount of regional dive travel from there. You are in a good spot to hop to any number of wonderful places if you can get away for a few days. Manado/Lembeh/Bunaken in Indonesia and Sipadan/Mabul/Kapalai in Malaysia both take most of a day (or a day and a night) to get to, but are well worth the hassle. And world-class diving in Thailand takes only a couple of hours to reach with nonstop flights into Phuket from KUL. Bali is nearby (I like the Tulamben area). Even Maldives is just a four-hour flight away!
While there are great dive destinations galore in the region, we certainly should not overlook the islands off the east coast of Malaysia, and particularly those of the Terengganu Marine Park. They represent quite good diving and great value. I see that there's a pretty long list up there already for Malaysia, but I notice that my very favorite east coast dive destination isn't listed! That would be Tenggol. When I lived in KL I would dive Tenggol regularly because it's much, much easier to get to than Tioman, not to mention closer, so that I could simply drive out there Friday night, dive Saturday and Sunday, and get back Sunday night without having to worry about taking time off work. In fact, I believe it's the closest worthwhile dive destination you can reach from KL. (I can send you driving directions if you PM me.) But it's not just the proximity--I believe it's the best diving in Peninsular Malaysia!
I have dived a few days (short trips) at the west coast islands when I couldn't afford the time to go further afield and when east coast diving shut down for the monsoon season. But although Langkawi was a big favorite of mine to visit for relaxation and to get away from the city, I can't say that diving there is really worth much concerted effort--if you happen to be there and can't bear the idea of sitting on the beach with a cold beer, then go dive. For me, on Langkawi, beach and beer win.
I hope your diving days during your stay in KL are fun-filled and safe. Let me know if you have specific questions from an expat point of view. Oh yeah! Almost forgot.... I can recommend a few dive shops in KL. Let me know where you live, and I'll try to point you to the ones I like that are nearest/easiest for you.