Nothing miniature-wargaming related. Everything to do with wargames is imported (at horrendous cost, I might add). Though if you fancy Japanese model kits (Gundam, Tamiya etc) they tend to clock in cheaper in Malaysia (or even better, Singapore).
Otherwise electronics are a good buy, as M'sia manufactures loads of them. USB memory sticks are about half to a quarter of the price of similar products in the UK AFAIK.
Alternatively, he can buy petrol, as it is dirt cheap (in spite of the recent price rises) at about USD0.80 per litre or USD 3.20 per gallon. How you're gonna smuggle it out is another story though..
Cheers
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