Well it depends where you marry, but if you decide to do so where you are, the following might be worth consideration:
A scenario�
A Malaysian woman lives as a Christian, having converted from Islam in 1998. Since then, she has encountered legal difficulties in officially changing her religion to "Christian." In fact, the Malaysian state has not sanctioned her marriage to her Christian husband. Because she is a Muslim under the law, she is obliged to file her marriage in a sharia court. But the sharia court will not sanction her wedding an official Christian.
Malaysian Muslims who wish to convert to another religion or simply to not follow Malaysian sharia have found themselves in legal limbo. Secular courts have refused to grant religion changes, saying they have no jurisdiction over Islamic questions. In the sharia court, however, apostates like her can be subject to a battery of re-education, which sometimes includes caning, just for bringing such cases. The process of legally opting out of sharia is so difficult that no living person in Malaysia has ever successfully done so.
In addition to worrying about the strident voices opposing apostasy (defection from their religion) in a country whose constitution guarantees freedom of religion, secularists are increasingly concerned about the influence of muftis who espouse very broad sharia. Conversion from Islam in Malaysia is very sensitive and deemed controversial, even within families.
In this respect, the only way you could marry in Malaysia would be for you to convert to convert to Islam.