I second the scooter and the bike. My 3 year old got one for Christmas, a small one with Diego on it, and he LOVES it! My other son was just about 6 at Christmas time and got one too, but it's a bit small for him now. He wants the Razor one for Christmas. As for bikes, they definitely make them sized for a 4 year old. I just got my son one on clearance at Target for $35 to give him for Christmas (he turns 4 right before). It's got 12 inch wheels which I think will be just right for him. HE's tried his big brother's bike with the 16" wheels, and it's too big for him. I think the 12" would be perfect.
Also, I didn't read all the responses, but when my oldest boy turned 4, we got him some board games. It was nice to play something that required more than color matching. :) His favorites were
Hungry Hungry Hippos
Don't Wake Daddy
Bingo - we have a DVD one that even my almost 4 year old can play by matching the picture on the screen since he can't yet read the numbers. We have the Nickelodeon one, but I've seen the Disney one as well
Hullabaloo - one of my favorites to play with them
Operation
Candy Land
Memory - you can get these in just about any character
We also have Chutes and Ladders, but that one takes a little long and my son always got confused about which way to go when he couldn't read the number, so I don't recommend that one yet, but I bought it in a shrink wrap pack with Candy Land for $5 one time.
Those are all ones my oldest son has had, but recently, my 3 1/2 year old has started playing as well and he has lots of fun.
Another idea is puzzles. Those 24 piece ones in the box are good for this age. I have to help my youngest son with them, but it's fun to do together.
My son also loves his Black and Decker work bench. He's quite a tool junky. He's also now, wanting an easel like his big brother has. The kind with the wipe board on one side and a chalkboard on the other. Haven't decided if 4 is a good age for the markers yet, still thinking on that one.
Good luck!!! 4 years old is when they start getting fun to shop for!