Hey mate,
Heh, car stuff is rather expensive in OZ, for no apparent reason. Alpine and Pioneer stuff costs an arm and leg there, and over here its cheaper.
Sunway - Google Maps
You'll find a lot of performance workshops in that area, that's the Sunway area kazukimy spoke of. notable ones for your Evo would be N1 Racing, which is roughly where the map is centered, and in the vicinity and walking distance is GT Auto - they have the fastest Malaysian Evo I believe, another gold mine for Evo parts. On the same road front of N1 Racing, further up you'll find Kakimoto, they have MOMO and other smaller accessories and stuff.
For audio I think there's a shop opposite N1 Racing, though not notable. EA Autoworks has a better selection
EA Autoworks Taman Esplanade Kuala Lumpur Wilayah Persekutuan Kuala Lumpur - Google Maps
I recommend that you google EA Autoworks up, they should have a Facebook page, you could probably get a quote for the stuff you're interested in beforehand.
Make sure you bring cold hard cash, cause by paying cash you get a cash discount. Also, to ensure that you don't get ripped off I suggest you try searching the Marketplace in this forums so you have a good idea of how much the stuff costs. Over here you can negotiate the price a little.