Jalan Petaling Market. It's this huge bustling outdoor flea market, where bargaining is a MUST!!!! From fake Rolexes to fake Gucci bags to the sweetest papayas and pirated CDs. It's one of the few places where the different classes meet and mingle amidst the humid atmosphere!!!
Ok, so the bargaining-- no matter what they offer, just cut the price in half and counter-offer. I have bought CDs for less than RM$10, which is about $2.50 US.
The vendors also sell a lot of items unique to the area e.g. wooden carvings, tie dye clothes, etc.
Wear comfortable shoes. It gets to be rather dirty at times. But the people watching, food and cheap goods are totally worth braving the crowd. If you really want to see where the locals go, this is it