Kuala Lumpur International Airport is Malaysia's main international airport and one of the major airports in South East Asia. The distance between India to Malaysia is approximately 3000kms. Kuala Lumpur is very well connected by the rest of the world by Air. There are frequent flights from India to Kuala Lumpur. You can take flights from Delhi, Mumbai, Kolkatta and Banglore, four major international airports of India. Air Asia, Jet Airways, Air India, Thai Airways, Qatar Airways, Malaysian Airline, Singapore Airline fly to Kuala Lumpur from India.
There are no bus services which run between Malaysia and India.
There are no rail services between India and Malaysia as yet. However, in the future if Burma rail is rebuilt it will open the rail route to Malaysia from India.
As exciting as it sounds, roadtrip to Malaysia will be one of a kind. To travel one needs to cross international boundaries of Myanammar and Thailand. It is a costly affair, extremely time consuming and could be unsafe.
There are many cruise package which you can look for if you are considering to travel to Malaysia from India through water. There are many sites which offer such packages. However, if you are travelling Malaysia for the first time, it will be good taking a flight from any of the major international airports in India.