My favorite among the buildings around Merdeka Square is the KL City Gallery or the Galeri Kuala Lumpur. It's probably one of the best place to visit if you are in Merdeka. It is located inside a 114-year old colonial building (built in 1899) and it is an interesting tourist information center showcasing the history and future of Malaysia. I love this place because its cool inside and admission is FREE with FREE WIFI!