There are a lot of special places on a horse that are usually itchy. Try the sides of his neck, his withers, behind the shoulders, behind the ears, along the slope of the shoulder, the dock of the tail, his belly button....and really scratch HARD. Use those nails! Horses groom each other with their TEETH, so we really need to scratch hard.
By puzzles, I mean try things like figure 8's around two cones, a weave pattern between cones, have him go over, under, across, up and down things, use lots of obstacles. Get his mind engaged. Use your imagination! :)