My son took Karate at this age and it was very beneficial on many levels:
Discipline, Balance, Following instructions and boost his confidence.
We also took soccer in little league and he had a blast there too. I will say that 4-5 years old was a little young for team sport. they seem to want to play "next to each other" and not really "with each other" (I think that's typical at this age)
Nevertheless, he had fun and wants to play soccer again this coming season.
My little brother played tee ball at this age, and he had a great time! At 4 or 5, the team play is not all that competitive, but it's a fantastic way for kids to bond and get a little exercise while they're at it.
Children love to play games. If you can find a creative way to combine the games they love to play with games that build skills and aid development, you'll have a win-win situation. Many games can be played with no or very few objects. Use the following ideas to build skills, to shake loose the wiggles, or to simply have fun.