Kuala Lumpur is the capital of Malaysia.
There is a big toll gate south of the city which is an excellent hitchhiking place, but not too easy to reach.
First, take the LRT to Sungai Besi. The fare is 1.70 RM (July 2012). From there you have to walk south along the main road. You have to cross the rail tracks on your right, either by jumping the fences, which is illegal and somewhat dangerous (it's a high speed train line) or you can use the bridge which is quite a walk. Walk further south, you will see a McDonalds on your right and then a little neighbourhood. The south end of the neighbourhood is right next to the toll gate. The motorway is elevated here, but there is a little hill with a little footpath that leads to a hole in the fence exactly at the parking place behind the toll gate from where you can start to hitch. It'll take you about 45 minutes to walk from the LRT station. There is probably a bus that stops a little closer to the toll gate.
It's very possible to get a direct lift to Singapore from this place.
North towards Thailand
There are three places which you should consider in order to get out of the city towards north.
The first one is a Shell gas station right behind the toll gate (it is at the Plaza tol Jalan Duta). In order to get there, you can take the KTM commuter train and get off at the Segambut station. From there, walk about 1.5km south on the highway. Unfortunately it's very easy to get lost in this area, in the middle of several highways, large roads, huge concrete bridges, exchangers, with very few and useless road signs. Choose this option only if you have a GPS with you.
The other place you can consider is a toll gate near the KTM station Sungai Buloh.
Get off the KTM commuter train at Sungai Buloh, walk down the stairs and you will come to a motorway. Turn and walk left then walk across the overpass to the other side of the motorway. If you are facing the train station you just came from, then walk right along the side of motorway. initially you will walk under a motorway bridge, keep walking straight along the side of the motorway. It will get quite narrow but walk on the inside of the barrier. to your right you will see a flood water and then the toll booth where you are trying to get too. continue walking straight, you will come to a plant nursery on the side of the road go through the gates but keep walking in the same direction as before. you will come to a small pipe opening with water. you can easily climb and jump fence to get over then continue walking you will come to an over bridge where you can walk long to the right which will put you on the road to the toll. Walk along the side of road towards the toll, walk past the toll, run across to the other side and be sure to stand on the shoulder of the lane heading straight through which is the " labuan besar utara selatan"(big road from north/south)
Take the KTM train heading north and get off at the last station called "Rawang", for just a couple of Ringgit (about 1$). You'll arrive to this town "Rawang" that is not on the highway but you can reach very easily, just a short 5 minutes walk, another main road going north (toward: Tapah, Ipoh, Cameron Highlands, Penang, Thailand border, etc.). That is probably not the perfect way to head north if you are in a rush, cause you'll have to deal with short and indirect lifts until you get to Tapah (about 100km north of Rawang), but it's not a bad option, hitchhiking on that road is very easy.