Of course you can get many of the character shoes that light up in just about any dept store, as many have suggested.
Like you, I don't like the Sketchers either. I just think they are so gawdy, especially the ones for boys. The ones for girls aren't so bad. And they're not cheap.
My son is also 4, and I've done the character thing, and they've actually held up pretty well. But another kind we've had good success with that I didn't see anyone else mention, is Reebok. They have light up shoes that aren't otherwise obnoxious. They are nice, basic looking tennis shoes, that just happen to light up. And a really neat thing Reebok has, LIGHT UP SHOESTRINGS. We just got a pair, and boy, they are so cool! They REALLY light up! Almost LED looking! And we've gotten them for $19.99. These are the ones my son has, in a size 1, so they come in small and larger sizes.
http://www.6pm.com/reebok-kids-illumilace-strap-infant-to...
If you look at the additional photos and watch the video, near the end of the video, it will actually show you how the laces light up.
But there are lots of other Reebok light ups out there as well. Worth a try if you can find them inexpensively, as we did.