Going to Kuala Lumpur next week, shall I book a hotel near Jalan Petaling or near Bukit Bintang?

Since you want to be near the place which has a lot of massage parlours / bars then Bukit Bintang is the best option. However since Bukit Bintang is one of the most happening places in the whole of Malaysia, be prepare to pay more for your accomodation and your "entertainment".