Just about anything can be a learning experience for a child this age. Songs, stories, books, walks, bike rides, playing on the swing, etc. They do also need some down time to play on their own...some good toys for learning can be found in just about any store but Discovery Toys has them and will tell you specifically what age group and what type of learning the toy encourages (no I am not a DT rep just a mom who has seen them). I also like the Preschool Prep Company's learning DVDs (colors, shapes, letters, numbers, and site words). For my daughter, I got these wonderful things call Smart Sticks by Hooked on Phonics. She has had them since she was 1 yr and loves them (she's now 4). They teach, in a fun way, letters, numbers (English & Spanish), colors and shapes (also English and Spanish). They can just listen, push for response, answer a question, etc.
You can also point things out while you are walking or driving (what things are, what colors, shapes, letters, numbers, etc that you see) or in a catalog or book. As he gets older it can become a game of "I Spy" and can be more complicated as he learns. This is something we did with my daughter and she can now even tell you what way to turn and what road we are on.
Physical activity is very important (but you can also engage his mind while his body is moving).