There are many options for cyclists coming to Malaysia.
If you’re coming from overseas, the easiest option is to fly directly to the capital city, Kuala Lumpur. You could also book a flight to Singapore and then cross into southern Malaysia. Major carriers and budget airlines like Tiger Airways and Air Asia service both cities.
Many overland travellers enter Malaysia from Thailand. There are a number of crossing points you can use but perhaps the most scenic is with the ferry that runs between Satun and the Malaysian island of Langkawi.
You can also cycle across the border at the small and rarely used Wang Prajan crossing, a little north of Satun and just beyond Thale Ban National Park. Far more popular for tourists is the border south of Hat Yai on Route 4.
In years gone by, it was popular to ride down the east coast of Thailand and into Malaysia. Unfortunately, there’s a lot of instability and occasional violence in this part of Thailand now so the area is largely out-of-bounds. Check with your government or embassy before cycling this way.