Do you know the book "The Highly Sensitive Child" by Elaine Aron? I highly recommend it. If for nothing else than to validate that this is a perfectly normal trait. But she has some nice tips too. I'm also reading "The Hidden Gifts of the Introvert Child" which is pretty good too.
Our son is 5 and is definitely 'highly sensitive' in many ways. What I've learned from him (OK, and from myself as I fit that label to some extent as well), is:
-Give him his own time as much as you can. We too spent most of our time when he was one and two exploring, examining and noticing etc. Our second isn't as observant, and I actually miss those kinds of walks.
-Make sure you offer him chances to climb and run with your support. Ds wasn't very adventerous on his own, but if I was there, he WOULD try things, and did enjoy climbing, sliding, etc if we took it slowly.
-Don't avoid new experiences with him because you think they might be difficult. Just be prepared to be there and support him through it. Try them a couple of times before concluding it's not his thing.
-Watch the level of stimulation -- we can't do too many things in a day. Ds is a lot happier (and I am too) now that dh has an mp3 player and the radio isn't on at home all the time anymore. Until recently, we couldn't go to really, really busy places without difficulty. (He has, alas, recently discovered Chuck E. Cheese's via classmates' birthdays. Chuck E. Cheese is my idea of hell!)
-Give him lots of time to warm up. I can't tell you the number of times where we were at a function of some sort and I was beginning to despair of his joining in or playing at all, and then just as I was ready to leave, he warmed up. Generally it took 45 minutes or more for him to warm up to a new situation.
-Give lots of time for transitions. My kitchen timer is my favorite parenting device for ds. We set it for EVERYTHING when he was little so that he would know what to expect. (This is the child who wanted to know when the sun was coming out from behind the clouds!) We'd warn him and say "when the timer beeps, it's time for XXX". When we're out, I give a 5-3-1 minute system of warnings (with some flexibility on the 'minutes' if I've misjudged readiness to switch).
-Talk about emotions, label them, role play them at times when he's not upset. Label your OWN emotions as you go through them. "I'm feeling tired and out of patience right now" "I'm really having fun!"
-Talk about how he's learned things. Our ds gets easily frustrated and I find that it really helps just to note that "gee, last year you couldn't pedal at all, but you practiced, and now you can ride up the hill!"
-Do everything you can to keep other people from labeling him as 'shy'. Our son does not speak to strangers. Period. He takes time to warm up to friends and family. If someone asks him something and he doesn't respond, they will often say "Oh, you're shy?" I will always respond "No, he talks a lot when he knows people" or "He just takes a bit of time to warm up" or "He likes to watch a bit before he dives in". He's NOT shy. He's quite comfortable with other children and plays well with them. But adults insist on labeling him as shy.
-Enjoy (and write down!) the gifts that he has. Our son observed at age 2: "Moon has no doors." and then a few minutes later "Planes have doors." He noticed at 16 months the fact that the publisher's mark on the spine of books is the same as it is on the back of books. I can see him working on the concept of unexpected things now - when he plays fireman, the fires are 'scheduled'. "Another fire in 3 minutes!" he'll announce as he runs to get his boots and hat on.
I've seen our son blossom in so many ways recently that it's clear we took the right approach in following his lead, with some gentle nudging along the way. He'll now talk to and play with unfamiliar children. We were at a function not too long ago and he watched for about 2 minutes and then ran off to join the kids. Best of all, he's comfortable with who he is!