I recommend introducing him to PBS Kids, Nick Jr, Playhouse Disney, etc. My kids vastly prefer these sites over traditional games.
I'm assuming at age 4 he's pretty computer proficient. If not, the hardest thing for my kids to figure out was that the right mouse button wasn't used to select things. This is frustrating in Flash games, because this brings up a property dialog. It took both of my kids a while to figure this out when they started using the computer on their own (at 2 for my son and a bit before that for my daughter).
Now that I think about it, both kids use our iPhone's a lot these days. There are some really great educational and fun games for this platform. I think my son played Soosiz for example for 4 months or so until he mastered it My daughter really likes the wood puzzle games where you move pieces into place, rotate them, etc.