PPL in MY
It is not possible to do a JAA PPL in Malaysia as yet. A few schools have looked at the idea I believe - but the cost has put them off.
It is possible to do a DCA PPL in Malaysia - but this is messy, complicated and bureaucratic. With a JAA PPL it is possible to convert to a MY Licence by sitting two theory exams (Air Law and Human Factors) and then doing the Flight Test. So if you live in MY this may be the best way to go about it.
A JAA licence is always going to be more useful than a MY one - but I guess it is possible to convert a MY licence to a JAA one if you want to.
A lot depends on where you live - and also where you plan to do most of your flying in future.
I know a bit about some of the FTOs in MY so if you have any more specific questions let me know.
Gute Reise !