There are many discount airlines that take off and land out of Malaysia. In particular, if you're booking a flight, look into Air Asia, Air Asia X, and Malaysia Airlines, they have fair prices.
Once you have arrived to Kuala Lumpur you will find that there are modern highways, trains and buses in Kuala Lumpur (its capital), because the cheapest ways to get around in Malaysia is by bus and train. Peninsular Malaysia has 1,149 miles of rails, with a main line stretching from Singapore to Kuala Lumpur and to Thailand.
There are two types of rail service; express trains and local trains.
Flights between some cities may be significantly cheaper if you choose a multi-stop airline ticket.
Travelers save 20%-60% when they choose to fly multi-stop versus a direct flight.
The average price for connecting flights from Madrid to Kuala Lumpur is 582€.