Here's a page of Best Navy Blue Paint Colors from experts!
https://www.google.com/search?q=best+navy+blue+paint+colors&ie=utf-8&oe=utf-8

Valspar Blue Coal in eggshell

Ship Shape Boy's Room · More Info

Benjamin Moore Newburyport Blue

Tudor with Southern Flair · More Info

Benjamin Moore blue lapis

A CLASSICAL HOME AT OCEAN REEF CLUB · More Info

I love the idea of blue, but with the curtains and bedspreads it could be overwhelming. Not saying not to paint, but ask yourself if you're prepared to change out the textiles if needed after the fact. Or point out the potential pitfall to your 5-year-old and see if navy-on-navy is the look he's going for or if he wants to reconsider.

I was going to say the same thing as cawaps, but suggest a lighter blue as a compromise. If he really wants to stick with navy, are you willing to change the curtains -- either replce or at least band them with white so they don't get lost againt the wall?