As a woman who has traveled solo to all corners of Malaysia, I can honestly say I have never once felt threatened. However, my travel philosophy is "When in Rome . . . ." In KL I feel comfortable wearing sleeveless tops, and at beach resorts I'll wear singlets and shorts, but in rural places I dress similar to Malay women, in long wrap skirts or pants and shirts that cover the tops of my arms. I always carry a scarf in my bag in case etiquette requires I cover my head (which is usually only in mosques). In rural areas, I avoid physical contact with men, including shaking hands.
Note: This information was accurate when it was published, but can change without notice. Please be sure to confirm all rates and details directly with the companies in question before planning your trip.