Introduce him to anything and everything you can. The goal is not to desensitize him to the things themselves, but to teach him how to react and behave when something does scare him. There will always be something new, and in all of my years driving commercially, parades have always had the most monsters. But when you're horse is scared out of his wits and yet manages to not go forward, left, right, or backwards to get away from it, you've done your job well.
As for the actual scariest things we've come across, skateboards shooting at you're horse's feet when the person on said board falls ranks as the worst. Balloons and bells tied to bikes, that also fall were pretty high up, as was the giant inflatable Dalmatian (the kind that is held by 25 people you see in the Macy's Thanksgiving Parade) and actual, live bears walking behind us all had me and my horse on our toes. And yes, your boy is likely to get hit with candy, and you will also have kids darting out in the road in front of you to pick up candy on the road, oblivious to the equine coming their way. And have a passenger with you to smile and wave for all of the kids, you will be looking for prospective monsters with both hands on the lines the whole time.