A budget traveler's dream, the Perhentian Islands lie off of the northeastern coast of Malaysia. Often overshadowed by more popular tourist destinations like Langkawi or the more approximate Redang Island, these islands have palm-laden beaches and in-the-water activities as comparable in quality as any place in Southeast Asia. Everything from diving to food to accommodations is incredibly cheap here, especially on the island of Perhentian Kecil, which has a less family/more fun-oriented flavor.
You can trek numerous paths through the island jungle if you want to be swatting at bugs the size of your hand, or you can stay to the beaches and get in the water. For much more info on dive centers, accommodations, specific beaches, and more, check out the official site.