You choose which region you want to play in.
By default, Asia players will default to US servers.

You can select other region to play in but:

1. Your characters  will not be brought from other regions' server.
2. You may not be able to participate in RMAH (if you're playing in other region than your BNet address)
Most will want to decide which region they play in due to the following possible reasons:

1) Latency/lag
2) RMAH
3) Friends

Coz if they swap region after leveling alot, all would be lost (they're still kept on original server) when they go to new region D3 server.
The new region will not have any character (assuming first time playing there).

where I choose this in game or my battle net account???

You CAN play in US server regardless of what address your BNet acc is.

BUT you probably can't use the RMAH of US (if your BNet address is Malaysia).
If you want to use RMAH, you will need to play in ASIA server.
*DISCLAIMER: The above is subject to change with Blizzard's upcoming announcement on RMAH.

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Added on April 26, 2012, 3:23 pmMy advice to you, don't link it first until there's official announcement by Blizzard. We're all waiting for it with bated breath

EDIT:
While we're on the topic, for those that have purchased D3 via Blizzard's Digital Download.
What I mean with the above is if your "CD-Key" is already bound to your Blizzard account you used to buy D3 with.

If your address is US, and you wanna play in ASIA, RMAH may not be accessible to you.
Same goes for Malaysia address, and play in US server.
(unless they change it).

So, feel free to PM me if you want to change your listing once the RMAH details are revealed
DOUBLE EDIT: (Sorry) 
If your address is US and want to change to Malaysia (assuming you are Malaysian la~) you can do so but it's troublesome
as you need to contact Blizzard and provide proof to them.

If you are Malaysian and want to change your Bnet address to US, fat chance unless you can actually provide documentation to Blizz.

how come so many of you base in the us you mean then??? u bought the hard copy US version???

yijinchua|US Region|JameaPlays#1947

They want to play in the US region.
That can be selected from inside the D3 app itself.

EDIT:
btw, that example is not that good anymore, since the update given by Y.K.
Asia ppl may be lumped into US RMAH, so I'll edit the original example of ASIA -> Europe instead.

I think when I bought my digital copy its also listed as the us version even the installer have a "US" in the file name so I guess I'll play in the USA server first got more pro player 

when u buy Digital copy it should've stated "Global version"
But the client downloaded can be localized to other languages (German, Korea etc).
The client you dl appear to be US from your description

Most important, what's your Battletag (if you want to be added to the roster)?

I remember the hardcore players do not have access to the aution house...so no need to add me lah thanks anyway...