I am Malaysian and live in KL before I came to HK. There are places in KL which are polluted because of traffic but the sky in KL is always blue and sunny and less polluted compared to many other big cities (could be due to factory pollution which is more toxic).
We have done the following with our 2 years old daughter in KL and she really enjoyed it:
KLCC - Aquarium (smaller than Ocean Park but new), Science Museum and park
KL Zoo
Lake Garden - deer farm, butterfly farm, bird park etc (Carcosa Sri Negara is great for English afternoon tea or curry tiffin Sunday lunch)
One Utama indoor playroom
Mega Mall indoor playroom
Kuala Selangor Nature Park and fire flies place
We also been to these places with her:
Fraser's Hill - rain forest, easy hikes, hornbills, wild animals, fresh and cold air (she was less than one year old) SmokeHouse is reat for English afternoon tea
Langkawi - we stayed at Datai which has great pool, surrounded by rain forest and have a private beach - great place to see hornbills and monkeys
We intend to take her here in the future:
Sunway Lagoon
Desa Water Park
Berjaya Hill (Bukit Tinggi Resort) - Japanese garden, walking, fresh and cold air, rabbit farm, deer farm
Cameron Highland - tea plantation, farms, rain forest etc
Ipoh - caves
My daughter doesn't like heat. We always plan the activities between 8am to 11am, then go somewhere indoor to avoid the heat. Usually it will rain/storm between 3 to 4pm. We will go out again in the evening or after rain which is cold and fresh. We also put less clothes on her, put her hat on and apply sunblock and mosquito repellent if we are staying outdoor or in the jungle/zoo/parks. Always bring umbrella for sun and rain. Also, don't forget a jumper/jacket/extra clothes/blanket for indoor air-cond.
It's easier to rent a car and drive around in KL.
Let me know if you need more info about KL or Malaysia.