In my opinion, the most important thing when training a young horse is to have fun! I love doing a Matt Frost exercise:
I do a lot of leg yielding with all my horses as it gets them supple, elastic and submissive. I start on a 20m circle gradually spiraling down to a 10m and then pushing the horse away from the inside leg back to the 20m. This is a really good exercise for horses that are spooky and lack suppleness. It also develops the pace as they become looser through their back and therefore more able to be engaged from the leg to the hand. Turn on the forehand is also a very under used exercise.
Good luck! :)