The History of Sumatra by William Marsden (1783) — the definitive early account of the Malay world by a British scholar who spent years in Sumatra. Dense but authoritative context for understanding the culture, trade networks, and natural history of the region.
Into the Heart of Borneo by Redmond O'Hanlon (1984) — a comic and affectionate account of a jungle expedition into Borneo with the poet James Fenton. The best-written adventure travel book about Malaysia; entertaining even if your travels stay on the coast.
The Great Railway Bazaar by Paul Theroux (1975) — Theroux's train journey from London to Japan passes through Malaysia, with observations on the east coast and the overnight trains that still run today. The descriptions have aged better than most.
Tropical Marine Life of the Indo-Pacific — a field guide to the fish, corals, and invertebrates of the region; useful if you're snorkelling at Cherating or planning dives further up the coast at Pulau Tioman or Pulau Redang.