The Central Market in Kuala Lumpur
Built by the British, Kuala Lumpur's Central Market was first opened in 1888 as use as a fresh market. The building is now designated as a heritage sight, and has been converted for use as a craft market. The market aims to sell crafts representing all the ethnic groups that make up modern Malaysia, but often the goods on sale are nothing special, and on occasion I've seen things that I was fairly certain weren't even made in Malaysia. Still, the market can be good for a look, and the modern art on sale in the annexe behind the main building can be quite interesting.
The Central Market is very near the Pasar Seni train station. Combine a visit here with a visit to the Chinatown area.