The Malaysia is my first choice hotel too whenever I go to Bangkok. Another plus is the proximity and easy access to the expressway for those of us who drive. The hotel has plenty of parking.
The staff is very helpful. The front desk staff speaks good English and the room maids are trustworthy.
The hotel has separate floors for smokers and non-smokers, so no problems about that.
Nobody mentioned that a traditional Thai massage shop is located within the hotel. I've never tried it, though.
Yes, the rooms are on the spartan side, so it's the wrong hotel for those looking for high end luxury accommodations. I too have never had a problem bringing a "guest" to my room. The "guest" has to leave his ID card at the front desk. If you are still in your room when he leaves, the front desk calls to make sure everything is ok before giving him back his ID card.
There are also some very good restaurants within easy walking distance.
If you are not afraid of motorbike taxis, it's usually less than a 10 minute ride to the gay bar area.
There are nearby hotels with better appointed rooms for a higher price, but for me the Malaysia Hotel is perfect.