R1=USA, R2=UK/JP, R3=SG,HK,MY,KR,TW, R4=AU/NZ R5=?
PS3 games are region-free, they can be played on any PSN ID. However for multiplayer games, some games (usually third party) only allow you to play online only with people using the same disc region for that game. First party titles normally wont have this problem. For confirmation about multiplayer disc region lock, please ask in those respective games thread.
Basically it depends on which modes of payment you are comfortable/have access to. Some people have a working credit cards to pay for downloadable contents on USA PSN (R1) store, and some cards can only be used on SG/HK PSN store. for R1 & R3, there are PSN topup cards available to topup credits. Avoid R2/R4 at all cost because those PSN stores do not accept Malaysian cc, moreover
they currently do not produce PSN topup cards at all (R2 PSN cards are available now). do get R2 if you are certain that you do not need to get any expansion packs in the future, as the discs for R2 are cheaper locally. Check
this thread for accepted credit/debit cards list.
Do note that some patches/dowloadable contents may be delayed on certain region (R3 especially). R1 usually get the contents first.