Getting Visas for Malaysia vs Thailand - When it comes to getting a visa to visit Malaysia or Thailand to assess the possibility of living there, Malaysia wins hands down. With an immediate 90-day stay given at the airport upon arrival in Malaysia to citizens of most western countries and 90-day renewals available in country, it's extremely easy to stay in Malaysia.
Thailand, on the other hand, has made it increasingly difficult for westerners to get visas to spend any large amounts of time in the country. You can get a tourist visa for 60 days, available at any Thai consulate overseas. However, to get the same initial 90 days Malaysia offers, you have to go to a Thai immigration office to get a 30-day renewal, which costs 1,900 baht or US$60. Then, if you want a second 90-day stay, unlike in Malaysia where it's all done in-country, you actually have to leave Thailand for 2-3 days to travel to a neighboring country for a second 60-day tourist visa, to be renewed for 30 days and another 1,900 baht once you're back in Thailand.
Buying Property in Malaysia vs Thailand - In Thailand, unless you're married to a Thai, westerners cannot buy houses only apartments or condominiums. In Malaysia, a westerner can buy a house, a townhouse, an apartment, a condo - pretty much anything they want. With more choice for just around the same price, again, Malaysia wins hands down for an expat considering moving to Thailand or Malaysia.
Getting a Job in Malaysia vs Thailand - With many more job categories open to western expats in Malaysia, yet again, Malaysia wins this category too. (See the recurring pattern yet?). In Thailand, just about the only job a western expat can do is teach. Or, if you have the capital, open your own business. Even then though, to be able to get a work permit, you have to hire four Thais.
In Malaysia, a western expat can be a nurse, a doctor, a teacher, an engineer, a manager, an IT professional or can do any number of other professional jobs. With salaries for these jobs being higher than a teacher's salary in Thailand, if an expat is looking at Thailand versus Malaysia, moving to Malaysia would be the best bet.
Salaries in Malaysia vs Thailand - Because western expats can only be teachers in Thailand and average teaching salaries have not increased in more than 15 years, if you're looking for the highest salary you can, then a move to Malaysia would make more sense.
Cost of Living in Malaysia vs Thailand - Overall, both countries are very similar in cost of living. Both have similar costs for apartments, transportation, food and entertainment. So, if you're looking for an inexpensive place to live both Malaysia and Thailand would fit that need.
Religious-Diversity Malaysia vs Thailand - Both countries, in the large cities, are quite cosmopolitan but, for religious-diversity here again, Malaysia wins out due to its population being 60% Muslim with Christians, Hindus and Buddhists making up the 100%. However, Malaysia is run by right-wing Muslims overall, so can be more restrictive than Thailand in some issues.
Thailand, on the other hand, is 97% Buddhist, but it is extremely religiously-tolerant so, religion-wise, no matter where you fall you're not likely to see any problems here.
Overall, if you're thinking of moving to Malaysia or Thailand, considering simply ability to easily get a visa, ability to buy property on your name, more job options and higher salaries, Malaysia is a much better choice. As much as I love Thailand, the government is making it more difficult for western expats to live here or to create any kind of stable life with long-term prospects. If I had to do it again, I'd choose Malaysia each time. The country is simply more stable (no political problems like the ongoing 4-year-plus problems in Thailand), and the government understands that being welcoming to western expats will, in the long run, benefit them. Probably why Malaysia is constantly moving ahead and Thailand is going backwards.