Sub-Neptunes with $2-3R_\oplus$ are intermediate in size between rocky planets and Neptune-sized planets. The orbital properties and bulk compositions of transiting sub-Neptunes provide clues to the formation and evolution of close-in small planets. In this paper, we present the discovery and follow-up of four sub-Neptunes orbiting M dwarfs (TOI-782, TOI-1448, TOI-2120, and TOI-2406), three of which were newly validated by ground-based follow-up observations and statistical analyses. TOI-782 b, TOI-1448 b, TOI-2120 b, and TOI-2406 b have radii of $R_\mathrm{p} = 2.740^{+0.082}_{-0.079}\,R_\oplus$, $2.769^{+0.073}_{-0.068}\,R_\oplus$, $2.120\pm0.067\,R_\oplus$, and $2.830^{+0.068}_{-0.066}\,R_\oplus$ and orbital periods of $P = 8.02$, $8.11$, $5.80$, and $3.08$\,days, respectively. Doppler monitoring with Subaru/InfraRed Doppler instrument led to 2$\sigma$ upper limits on the masses of $<19.1\ M_\oplus$, $<19.5\ M_\oplus$, $<6.8\ M_\oplus$, and $<15.6\ M_\oplus$ for TOI-782 b, TOI-1448 b, TOI-2120 b, and TOI-2406 b, respectively. The mass-radius relationship of these four sub-Neptunes testifies to the existence of volatile material in their interiors. These four sub-Neptunes, which are located above the so-called ``radius valley'', are likely to retain a significant atmosphere and/or an icy mantle on the core, such as a water world. We find that at least three of the four sub-Neptunes (TOI-782 b, TOI-2120 b, and TOI-2406 b) orbiting M dwarfs older than 1 Gyr, are likely to have eccentricities of $e \sim 0.2-0.3$. The fact that tidal circularization of their orbits is not achieved over 1 Gyr suggests inefficient tidal dissipation in their interiors.
Comment: Accepted for publication in AJ, 32 pages, 17 figures, 6 tables