I grew up in Malaysia and lived in KL for a year while going to college. Visit the Petronas Towers (a.k.a. KLCC). Be there early to get a tour up to the observation floor.
Head over to Petaling Street (a.k.a. Chinatown) for some bargain hunting. They sell all kinds of stuff here including fake Rolexes. As with just about any place in Malaysia, haggle for the best price. Walk away if you don't get the price you want. There's another vendor who'll want your business just down the street.
Central Market is interesting for local arts/crafts/foods. Look for silk, batik, songket clothing or decorative items here.
Lake Gardens is a good place to stop if you're the hustle and bustle of th city is getting to you and you want a little quiet. It's an extensive park area at the edge of the city with some noteworthy sights like the National Monument, Bird Park, Butterfly Park and Orchid Garden. There's even concerts there in the amphitheater on some days.
Take a ride out to Putrajaya/Cyberjaya, the new high-tech capital for some interesting architecture of government buildings, mosque and bridges.
Journey out a little further to Batu Caves. It's a limestone hill with multiple caves that have been used as Hindu Temples. If you happen to be there during Thaipussam you'll be in for quite an experience as devotees perform their pilgrimage to the temples carrying kavadis.
You certainly won't run out of things to do during your weekend there.
For cheap eats, stop at any number of hawker center/stall and try out some local delicacies like nasi lemak, roti canai, nasi kandar and assorted other chinese and indian dishes. If you'd like some place a little more upscale (though pricey by Malaysian standards), stop at the KL Tower for a meal. KL Tower is a very tall communications tower and has a revolving restaurant at the top of it. They offer a buffet-style meal of local dishes. The food is pretty good in general (though not as authentic as hawker stalls) but the view is gorgeous. You'll get a bird's eye view of most of the city and surrounding suburbs on a clear day. They do have a dress code, so gentlemen will have to be in trousers. Don't fear if you happened to be dressed in shorts. The friendly restaurant staff will lend you a sarong to cover your legs and be decent.

Lastly, click on this link for some pictures of my trip "home" last year:
http://teoh.us/v/travel/malaysia2005/kl/Have a wonderful trip!
-Pete