What a cute pic! I have spent the last year and a half working on desensitizing my Welsh filly, it is a fun way to play with your horse while still teaching them invaluable lessons! I have used clicker training from the beginning with my filly, which really adds to her enjoyment of our training sessions. (I've had the minis go through the course too, but the filly was my main focus)
I've used tarps, balloons, hula hoops, plastic bags, bridges and numerous other things. When we go for walks we take a good look at anything we pass that might be considered scary (drains running under the road, caution tape, tractors, mail boxes, etc.) I set up an obstacle course of scary objects and "difficult" tasks last summer, and am trying to think of new things to add to it this year. My neighbor's have some two-year-olds as well who would greatly benefit from some desensitization. I'm thinking up a way to incorporate pool noodles that they will have to walk though....
We began breaking my filly and her half sister (both two) this summer, and it is amazing the difference between them. My filly has learned to stop and investigate anything that scares her, while it is her sister's first reaction to turn tail and run.
Here are some videos of last year's course, maybe they'll give you some ideas.
