I am doing this because I myself was in search of Pasar Malam's and googled but nothing came up. To my suprise there are many pasar malam around shah alam and it is every night seriously. But I will justst post the ones that are the best. You can google map to get the excat location :)
Monday - Seksyen 18, The biggest one with a lot of variety.
Tuesday - Seksyen 6, Located inside Pasar Besar Seksyen 6 compound.
Wednesday - Seksyen 7, On the way to I-city
Thursday - Padang Jawa, Also very big just beside KTM station.
Friday - Seksyen 6, Located inside Pasar Besar Seksyen 6 compound.
Saturday - Seksyen 19, Area behind Shah Alam KTM station.
Sunday - Seksyen 7, On the way to I-city though this is not a pasar malam, its more like Market.
Seksyen U16, Bukit Jelutong