Expose them to as many new situations as possible, cafes, bikes, children, shops etc
YY to this - and include things you doubt pup will see day to day but might come up. For instance, if you live in a rural area go to a town so the dog sees traffic, bikes, cafes and so on. If you live in a town go to a rural area so the pup sees livestock. You may have a car, but go on the train and bus and vice versa.
You never know where life will take you - DDog spent his early years in London where the only horses you'd see were the very occasional police horses. Now we live near a riding school and today gypsies had their horses in the park riding bareback which PestDog could only make worse and meant he had to go on the lead.
Teaching the dog that if you're scared of something the best thing to do is to walk away (ie call the dog away from the scary thing and reward). PestDog believes that the best response to scary things is to bark until it goes away. For instance, today he unexpectedly found a particular dog scary, stood 2m away and barked while the other dog looked bemused. As soon as it took a small step forward he screamed before I managed to get him to come back to me.
PestDog is scared of heights (most problematic when it's a surface with gaps eg between the planks on a pier) and MN tells me that this was yet another missed bit of socialisation.