However, there are SOME EXCEPTIONS.
Well, don't get confused! Here are some tips ;)
We use 'the' for these kinds of place names:
1) SEAS e.g. the Atlantic, the South china Sea (Laut Cina Selatan)
2) MOUNTAIN GROUPS e.g the Himalayas, the Titiwangsa Mountains
*but for single mountains, we don't usually use the article 'the' e.g Mount Everest, Mount Kinabalu
4) RIVERS e.g the Rhine, the Kinabatangan River, the Gombak River
7) Most CINEMAS and THEATRES e.g the Odeon, the Istana Budaya
8) Most MUSEUMS and GALLERIES e.g the National Musuem
9) Most ZOOS e.g the National Zoo of Malaysia, the Zoo Melaka
10) Names of COUNTRIES that include common nouns like 'republic', 'state' or 'union'