Last Update: Jan 2016. Malaysia's best nightclubs can be found in the capital Kuala Lumpur, with the famous mega-club Zouk by far my favorite venue. Gravity KL is another must-see, while Providence and Play Club offer sophisticated alternatives if you're looking for a classy night out. In Penang, be sure to visit the excellent Cuvée, while Soju Room is a popular choice if you like live music. Over in Sarawak, Kuching Nightlife is concentrated at the Travillion Mall, and Zebra's Club and Paragon are my favorites there.