I am really amazed with the question if someone has a choice to go between Dubai and Kualalumpur. Both destinations have some amazing places to visit but the huge difference is the things to do in both the destinations:
In Dubai:
You can do Desert Safari & Dune Bashing
Dubai Creek Cruise
Hot Air Balloon Ride
Camel Racing
and
Wild Wadi
In Kualalumpur:
You can do Travel around Kuala Lumpur by Train or Sky Train
Visit Chinatown
Visit the Museums, National Mosque
Go up KL Tower
The best thing to do is to go to Dubai and there are lot of adventurous things to do in Dubai. Opting for a Dubai tour package will be indeed the good idea for you holidays.