I have access to US based credit cards where sign up bonuses are king. This year alone I have received in excess of 600k points across various credit card sign up bonuses, after $15-20k of spending which is where most of my charging goes to. Once the sign up bonuses are done though I still go back to Maybank Premiere cards especially Amex Reserve since that gives me many more points per USD/RM spent.

I have access because I lived/work in the US for many years so not an issue for me.
These are general steps, and all theoretical based on potentially outdated/flawed info. I'm sure I've posted this before, but am reposting again.

0. You need a forwarding address. Apply for one, pay the $x monthly and use this as your mailing address. Google for options.
1. You need a VPN, some sites use geo-location or IP-location and won't work if you're outside the US.
2. You need a social security number (SSN). Open an investment account, make sure you make a taxable profit, then apply for a SSN to pay taxes in the US.
3. You need credit history, typically one year or more. Once you have that SSN, apply for a basic credit card using the address in #0 as your mailing address. Forward the card to Malaysia.
4. Monitor your credit history (FICO scores, creditsesame, creditkarma) and start applying once you've established a long enough record

In short you're going to have to invest money, around US$20-30 per month for #0 and #1, and time, around 6-18 months for #2 and #3 before you can start with the big leagues eg. Chase Sapphire Reserve for 100k Ultimate Rewards points or Amex Platinum for 100k Membership Rewards.

The big advantages are of course the large sign up bonuses, plus the value of each point is higher in the US. Each US Membership Reward is a one to one transfer to the likes of Asia Miles or Krisflyer for example, not the crummy 6000 points to 1000 miles we get in Malaysia. Also pretty much all the steps above can be done online and you don't have to fly there regularly.

The disadvantages are primarily money/time already mentioned, plus the foreign exchange issues. You need to make a certain amount of expenditure, and you basically need to transfer money from Malaysia to the US regularly to pay for these cards.

The biggest disadvantage is that the banks are already starting to reduce their bonuses. You used to be able to churn cards, ie. apply, meet spend, cancel, repeat which is how I accumulated millions of miles over the years. Not anymore as the economy has strengthened and banks no longer need the customers as they had when the financial crises started. Amex has a once a lifetime bonus, Chase has their 5/24 rule, Citi also has limitations now. IMO the golden age of points/miles was probably 2-4 years ago, now slowly fading away...