The local marketplace in Kota Kinabalu is a treat for your tastebuds, like most such places in Malaysia. A huge variety of local foods, including a wide range of local marine life, standard Malay and Moslem cuisine, Chinese and local deserts, plenty of local fruits. As the marketplace is located near the seaside, add a breathtaking sunset into the bargain and you got yourself a best meal for the price of three cans of Coke in Europe.
A good tip is the fish - fresh from the sea, well-spiced with chili and served piping hot from the grill. Besides the usual nasi ayam, goreng and variations of mee (noodles), you can also find a huge range of deep-fried sweet deserts to cater your taste. If the excessive usage of frying oil puts you off a bit, try an aiskrim kacang. It's a refreshing mixture of shaved ice, sweet milk, red beans, sweet corn and a lot of other stuff, you'll have fun identifying as you go along. Great to cool you down after a hot day.
If you're a frequent visitor, get to know people - they're friendly and outgoing, even if their English knowledge is marginal at best. Some of the best conversation I had was a mixture of English, Malay and a large amount of sign language!