From BKK to Chiang Mai, you could use Thai Airways or AirAsia. Internal flights within Thailand are fairly cheap.
From Chiang Mai, AirAsia flies direct to KUL, whereas Thai needs a transit in BKK. This is a slightly more expensive route as AirAsia is the only direct flight between the 2 places.
Do note that AirAsia adds on lots of charges - checked in luggage (only hand luggage is free), credit card booking fee, etc .. do take note of all these as they add up.
The choice of an airpass vs booking individual flights depends on the number of sectors you're travelling, the routes and whether code share arrangements give you the best options. Hope it helps