That is a pretty young age to start. His attention span is something to consider.....
I have one son that is now a Black Belt in Jiu-Jitsu (BJJ) and the other is a Brown Belt. They started at ages 7 and 9. Few people will stick with anything more than a few months, let alone 6 years.....I am very proud of both of them.
They train (Dad does too, as much as he can) at American Top Team. The program that they started in emphasized BJJ and Boxing/Wrestling/Muay Thai.........they tried to mix it up.
Instead of just one thing or the other, they have tried to balance their experience.
The one son who just got his Black Belt (his is considered a Junior Black Belt or Adult Brown)...is going on to train in the UFC training, so too, is the 15 year old.
Personally, I would look for a program that is geared towards children and to be honest, 3 or 4 is a little young for training. Developmentally, he may not have the capacity to fully grasp the concepts and so on.....
Now, that is not to say that you couldn't give it a try.
You may find better results and more fun for your son, if you wait until he is 5 or 6.
As for which Martial Art is the most effective, it is in the blending of the various disciplines that makes it most effective.
Sticking with just one discipline, no matter how proficient one is, only leads to being one-dimensional and this could be deadly in a fight. The UFC over the years has shown how any weakness in any area, can and will be exploited.
Wrestling is great. But, if you can't keep your hands up and are horrible at striking, but your opponent is great at both, well.....it could and will be problem.
Anyway, I think it is great that you are looking Martial Arts for your son.
Good luck and remember that he needs to have fun and learn effective training in a safe environment.