Work on anything and everything you can think of. If there is something specific that your horse is afraid of start there, otherwise, just pick something. I like to desensitize to plastic bags as here in the USA they are blowing around everywhere, and most horses spook big time. Also work with tarps, you want them to be able to walk on the tarp, have it touch them, cover them... Get a trash can and put it in the corral or round pen, roll it around, get the horse accustomed to the can in different places, standing up, laying down, rolling. Get some wood and have the horse walk across it. Have them walk on a blanket or rug, have things like wind chimes around, those flashy twirly things that shine in the light. Take then him/her across water, around wheelebarrows, have them lunge around and over plastic buckets, orange cones (like the road crews use,) over hoses, ropes, anything you can find around the barn, or can think of and get! The more the better. Paper crinkling and blowing around, kleenex tissues taken out of your pocket and waved around...
Also get the horse used to an umbrella. You never know when some idiot is going to open one up right beside your horse! This also helps with kites that might blow into the corral/pasture.
Loud noises. Take a spoon and metal pan and do a little banging, get them used to vehicle noises, and that those things move. Loading and unloading from horse trailers. Being touched all over with ropes, blankets, kleenex, hoses, plastic bags, buckets...
And please don't forget to make sure horse is NOT afraid of dogs. Whether they are barking, sitting, running, or running around horses legs. (I was thrown and got a broken nose and internal brusing because my bombproof horse was afraid of dogs and I didn't know!)
To do the bombproofing: With plastic grocery bag, have horse in a round pen preferably, or a smalish corral (you want the horse to be able to move away, but not take off out of sight.) Stand outside the pen, and crinkle the bag, then shake the bag, then wave it around. Now, walk around the outside of the pen doing this until horse is not running around, but is standing still and watchiing you. Then move closer and continue. When you can get right up to the rail and the horse is not spooked, enter the pen and continue walking back and forth, or around in a circle. Allow the horse to move away, don't push the horse. If the horse starts to freek, move farther away. Keep at it until you can move all around the pen without the horse spooking. Now, slowly hold out your hand with the bag in it toward the horse. Let the horse come up and sniff the bag. If he/she doesn't, then take one step toward the horse. Once horse has inspected the bag, gently and slowly touch chest, and shoulder with bag, then retret. Praise like crazy. Keep this up until you can touch horse all over with bag. Now step back a little and open bag wide, then shake bag, and repeat. This may take 1/2 hr. Or it may take a couple of weeks, just depends on the horse. Patience is what is important. If the horse becomes afraid, or feels cornered then what has been learned is fear. If the horse stays calm, then it learns not to be afraid.
Same principle with the tarp, etc.
Hope this helps. :)