Well, at 4, he has no idea about transgendered, transexual, gay, straight or any of it. He's simply curious! He notices differences and that's very interesting for the first time. My 4 year old son was VERY interested in anatomical differences and why we pee differently! Explain to him that in some situations (public restrooms) boys and men really have to stand up to pee because of urinals, but if he's at home or in a stall, then he can sit if he wants. It's not something that will stick with him, most likely. If his father is around -let him watch Daddy pee. My oldest never wanted to sit down at all to pee because Daddy doesn't. My youngest only wants to sit -everyone is different!
He's interested in your makeup because it's like face paint to a kid! It's something he sees you put on every day and it involves color. I explain to my boys (who LOVE to watch me put on my makeup) that usually only women wear makeup, but they can wear lip balm and moisturizer on their faces. Did you only tell him he shouldn't wear make up because he's a boy? He needs an actual explanation about how in our world usually only women wear make up and men usually don't -but sometimes they may for acting, being on television or doing other activities. You can go as far as you want with it, but very simple explanations and reasoning usually works with this age. When you see a guy in makeup -you can explain that one however you want, but I would start teaching him now that there are lots of different types of people in the world, and some people like to look or dress very differently than everyone else.
As to the guy in the subway -why not just tell him it's a guy? Many, MANY men have long hair. Many men also enjoy wearing bright colors regardless of their sexual orientation. If you see an actual cross-dresser who is obviously a man dressed as a woman, just tell him that some men like to do that. It will be obvious to him that most men don't dress like that.
He's really just curious, so I wouldn't stress about any of it. Most of us don't remember when we first noticed these things, but we all did and we were all curious about it!