Thumbs up to SDeuchars' suggestions!! See what your son enjoys, and do that. Over time you will discover what fuels his curiosity. You can chat with people here or locally about what he has liked doing in the past and get suggestions for other things he might like.
Just do the things you and he enjoy: read books, watch DVDs, make things, cook, walk in the woods, play music, join up with friends... A 4yo is still finding everything of interest - everything is new. You do not need to make any great effort to teach him.