As a brief preamble to this post, I will state that I have never collected Japanese Occupations of British territories in Asia and don't consider them part of Commonwealth collecting. I feel Japanese Occupation stamps should be listed after Japan.
During the 1990's and early 2000's I worked diligently to complete a Malaya States definitive collection for the period 1918-1964. I got very close- there were a few tough varieties I was unable to locate (e.g. some of the thin striated paper printings), and some high values simply could not be located MNH. Malaya was fairly competitive at the time, especially in the earlier 2000's when Malaya picked up more steam in the marketplace.
Eventually, I became bored with the KGVI collection I had built at the time as it became almost impossible to add to it. There were fewer than 20 desired stamps on my want list, but they were either too expensive or I simply couldn't find them. Around 2011-2012 I sold all my KGVI in an auction, including all the Malaya.
From there I continued a collection I had started comprised mainly of WW definitives from Europe and Colonies. Fast-forwarding to 2017, I found myself missing KGVI collecting and started back but with different goals. More focus on SG-listed shades, perfs, papers, and watermarks, less focus on accumulating large numbers of copies in search of every possible shade. This pursuit included Malaya.
Things had changed quite a bit in the Malaya stamp market between 2011 and 2017. Perhaps supercharged by the intensity of the market for stamps of China, Malaya had become much scarcer and sought after. When materials appear, there is a lot of competition. Apparently, this was/is true for most parts of East Asian philately, though I don't notice it for Thailand, Macao, or Hong Kong which all seemed to have cooled noticeably. These countries may also have peeked much earlier- all were extremely hot in 2011 as I recall. I also still see a lot of North Borneo material on the market.
When I ask dealers about Malaya, the common thread is the sense that Malaya has been heavily sold to collectors in Asia, deposited in collections, and possibly lost for a generation. This seems to be especially true for MNH material.
I've been able to secure a fair amount of material in the past 3 years but still have a long way to go. Some sets have been much easier to locate than others. Examples include the Kelantan Chef's Hat set issued in 1937-40, all North Borneo sets from 1938, 1945, 1947, and 1950, Sarawak 1934, 1945, 1947, and 1950, Kedah 1937, Negri 1935-41, Pahang 1935-41, Perak 1935-7, and Selangor 1935-41. Other sets have been almost impossible to find. I believe there are 2 reasons for this- one is purely scarcity and the other relates to how many years sets were added to. The longer the time frame, the tougher the sets are to find or put together.
I will start with just a few of Malaya's issues and will add to this thread periodically. The stamp pictured below from Johore was a workhorse for that State. First issued in 1904, stamps continued to be added across watermark and color changes all the way through 1941. The last watermark change covered stamps issued over a period of 20 years, making this Johore set extremely difficult to find or put together. Some high values that are listed in both Scott's and Gibbons ($50, $100, and $500) were likely used only for fiscal purposes and are extremely scarce mint. Specimen examples of these 3 values are much more common than regularly issued examples, selling for a fraction of the prices commanded by the normal stamps.

Some other Malayan States from my collection as pictured below.
The famous "Chef's Hat" definitive set.


Kedah set of 1937.

Selangor set issued in 1941, shortly before the Japanese occupation. A $5 stamp was prepared but not issued before the Japanese invasion. It was only officially issued overprinted during the occupation, though unoverprinted examples do exist and while scarce, they are not "rare."

I will continue to post images and info in this thread but hope that others will as well.