There is this place near Bukit Bintang in KL called Jalan Alor. It's great at night for seafood dinner or supper. Reasonably priced though it's said to be a tourist trap but I still find their price reasonable and food great! Alternatively you can also go to Petaling Jaya(Chinatown) for good hawker fare and pasar malam style shopping. The Ramli burger roadside stalls sell burgers that is much nicer than those "franchised" in Singapore.
If you prefer air-con comfort good food, try Madam Kwan at KLCC(Where the Petronas towers are). Good service, good food and reasonably priced. I love the Nasi Bojari there and it cost RM$20++ and the serving is big!
Shopping wise, Bukit Bintang is not bad. Sungei Wang Plaza and BB Plaza is interconnected and can let you shop till you drop. Some camera shops there have good prices too but bargaining is a must. (Their first quote is definitely going to make your jaw drop)
Lo Yat Building just behind Sungei Wang Plaza is like SLS in Singapore but I'm not sure about the prices though.
My friend there has told me that Mid-Valley Plaza actually is a good place to shop because price there is cheaper though I haven't been there myself.
Shooting wise, there is this public playing pool in the park just opposite KLCC and lotsa kids play there. My experience shooting there has been good, they don't really shy away and their parents are quite friendly too.
If you brought kids along, there is this 3 storey high amusement park within Berjaya Time Square(Bukit Bintang area also)