I would suggest a transitional object such as a teddy bear may help him feel comfortable while not in your room.
My five year old has always been a good sleeper, and always slept in his own bed. He was in a bassinet in our room until he was six months old and has been in a crib or twin bed in his own room since then. I know that isn’t what you wanted to hear, so now for the advice part:
However…We did have one period that lasted about two weeks where his sleep habits just went out the window. He was about a year and a half old. He was still in a crib and would wake up and cry and cry and want to get out. We finally bought him a new toy for his bed, and it did the trick in one day I think. It was one of those “Ocean’s Aquarium” light and sounds things for a crib. He slept with that thing until he was well over 3. Now he has a boom box in his room, and uses a tape or CD to get to sleep. And if he wakes up in the middle of the night, we hear him toddle out of bed and hit his music back on. We have a few lullaby CD’s and some silly kids songs that he likes a lot. He also likes to fall asleep listening to Charles Kuralt reading “Winnie the Pooh and some Bees”.
I am sure this will really irk a girlfriend/wife/college roommate some day. But it works great for us. And he has always stayed in his own bed and room.
Good luck.
p.s. I like the other possibilities of being cold, or using the Super Nanny techniques. I have known that to work for a lot of my friends.
I had the same problem with my oldest when she was three. It was driving us crazy - I was something like 500 weeks pregnant with our second child and I wanted it resolved before #2 was born.
By chance, I caught a tv child psychologist tackling this issue with the parents of a five year old autistic boy. We tried his technique and it worked quite nicely.
What worked for us was taking her back to her room, waiting outside the door and poking our heads in (so she could see us) at lengthening time intervals - one, three, five and ten minute marks. It took a couple of nights, but got to the point that you only had to do it at the one minute mark. Soon, we’d just take her back, and that was that. This technique also worked with #2.
Good luck!
Our oldest was horrible about this, mainly because she didn’t sleep much it seemed, and wanted us to entertain her. We child-proofed her room, got her a low toddler bed that she could get in and out of safely, and did what many other posters have said: return her to bed every time she got out, with no fuss, so it was really boring. She cried for a while, but my husband forbid me to give in. I would go in after a while and tuck her back in bed and “sshhhh” her, but not give her any extra attention. It took about two days to get her to sleep on her own.