This is one of the most popular questions I get, so here's a basic guide to lolita shopping in Kuala Lumpur, Malaysia. (I would appreciate any input on other lolita-related stores in Malaysia so if you know of any, do leave a comment. ♥) Hopefully this will be useful for both local and foreign lolis alike.
First off, if you're looking for burando (Baby, the Stars Shine Bright, Metamorphose, Angelic Pretty etc.), unfortunately you will not find any physical stores in Malaysia. Going online is your best bet. However, I will first focus on actual physical stores in KL. The online buying guide will be a separate post. If you're a local Malaysian lolita though, I would encourage you to buy online as the range is wider and it isn't necessarily more expensive.
If you're looking for Bodyline, K-star, GLP or other off-brand items, then you're in luck!
1. i-SOCKS in Times Square
Located in the Times Square shopping mall, so far this is the only store I know of that carries Bodyline. They also carry the brand GLP. They have a few branches within Times Square itself, with each branch carrying different styles such as punk and gothic-inspired clothing.
The branch of i-SOCKS that carries the lolita clothing is a "members only" area, meaning you will need a members' card to gain entry.
How to get a members' card: I am not sure of the exact policy, but I think if you spend a certain amount at any one of the other branches, you are eligible to become a member. Each card admits 3 people, if I am not mistaken, so if you yourself do not have a card, just get a friend who is a member to go with you. (If anyone knows the exact details of their policy, do leave a comment.)
According to delphnie, you need to spend RM30 in the non-members' area, which will grant you access to the members' area. Then, if you spend another RM50 in the members' area, you will get a members' card. So, in conclusion you have to spend RM80 in one day there. However, the policy is a bit unclear, so the best way is to just ask the shop staff about it if you want the card.
**Also, it may be worth noting that public opinion of this store is..... varied.
How to get there: Take the monorail to the Imbi station stop, which has a direct walkway leading into Times Square.
2. Anatomi in Sungei Wang Plaza
They carry the brand K-star. They also have a range of other alternative fashion styles. Unfortunately, I can't remember the exact floor the store is on but it is on the same floor as Sun Comics (the branch on the lower floor), one floor above Famous Amos. (I will update the exact info when I get a chance to check.)
How to get there: Take the monorail to the Bukit Bintang stop, which has a direct walkway into Sg Wang Plaza. It is also about a 5-minute walk from Times Square.
3. Anatomi in Sunway Pyramid
This is a branch of the Sg Wang store, and carries mostly the same things, with more casual clothing.
How to get there: Unfortunately there are no trains to Sunway Pyramid directly but from the Kelana Jaya LRT station (Putra line), you can take bus no. T623, which has Sunway Pyramid as one of the stops. The wait for the bus may be long though, so taking a taxi may be more convenient.
Map of the T623 route here.
4. Kinokuniya in KLCC (http://bookweb.kinokuniya.co.jp/indexohb.cgi?AREA=05)
Sells the Gothic and Lolita Bible, Gosurori, Shimotsuma Monogatari and other related books.
How to get there: Take the LRT to KLCC station (Putra line).
5. Others
If you're looking for loliable and lolita-related items, Sg Wang plaza and Times Square are probably the best bet. With a little time and patience, you can find some some cute accessories, socks and maybe even a bag or two.
Extra links:
Kuala Lumpur public transport map: http://www.malaxi.com/Map_transit.htm
Map of RapidKL bus routes: http://www.rapidkl.com.my/images/therm/area%205/a_05_eng_ani.gif
