Depends on the phone, obviously. In the US some phones do not use technology that is widely supported. In addition, some of the phones may be locked to a specific carrier, requiring you to unlock the phone for use in Malaysia.
Lastly, your own carrier may have restrictions about what can be used on their network.
So you'll have to investigate all those things, but the short answer is that you can get a GSM phone, unlock it and use it most of the time. You can also get unlocked phones on ebay and other places.