Malaysian people love to laugh and have a good time, as long as it isn't at their expense. This is because Malaysian people do not believe in self-deprecating humor or jokes about themselves. If you must joke about Malaysian people in their presence, assure them that they are nothing like that, it's only the people you are poking fun of who act that way.
In Malaysia, it is also not alright to trade gags that are potentially unsettling which revolve around race, politics or religion. Cracking wise about any of those issues could get you locked up. This is why Malaysian people like Russell Peters.
Russell Peters is a Canadian comedian of Indian descent. His whole act is basically based on making fun of racial idiosyncrasies and differences in culture. As a comedian, he gets to explore race issues in a jocular context and say things that would be considered racist if they were uttered by anyone but him. Being an Asian himself, this further endears him to Malaysians as they really relate to his wisecracks and enthusiastically recycle his jokes in their everyday lives.
Malaysian people love his jokes for two reasons: one, because they are both offensive and funny at the same time and two, because by recycling his jokes they get to stealthily insult other races and blame it on him if it isn't received well. Although Russell Peters has not explored the peculiar antics of Malaysia as yet, it definitely would present him with a comic goldmine. The true measure of his success would then be determined by his presence being banned by Malaysian authorities due to him being a "disruptive social influence".
Note: If you have made a joke that is offensive to Malaysian people and need to conduct damage control, claim that you meant it in a historical context.