Have to disagree with Jake a little on this one.
I take my 4 year old daughter to mixed martial arts. They run two classes there, level 1 and 2 for the younger kids. She's been going for 6 months and is getting to the stage where she'll be moving up to the second class in the next couple of months.
The first class runs twice a week for only a half hour each, and the second is also twice a week, but at 45 minutes each. Class ages range from 4 - 6 and the older ones are then able to move onto more specific areas / classes. The class time is perfect for that age group, as pointed out, concentration doesn't last.
She's coming on really well there, not only with the basic techniques but the general respect and discipline they have. They cover general fitness and have games/activities that incorporate martial arts to make it more fun, but also do sessions where they practice some of the techniques properly.
UItimately it depends on your own child, some at 4 may be a bit too young to concentrate or deal with the class without a parent, whereas others are ok. And of course whoever is running the facility, some places will always be better than others.
She likes it that much that she asked if she could have a punchbag at home, where she now practises her moves. Quite frightening as she's a tiny little thing, looks like butter wouldn't melt and then rips into that punchbag like you wouldn't believe. She tried ballet / tap a while back, it just wasn't her style :)