The pillow shading, it burns!!

I'd go for a bigger gun, just for dramatically coolness, make the colors a tad more saturated, and add more orange(like on the gun) on the body. It looks like he has a blank face, and it'll be pretty hard to draw eyes that small, so maybe try a visor. The shape of the helmet makes him look kinda like juggernaut (see below). And drop the pillowshading; ie: pick a lightsource(usually above in games), then shade from there. I think you could put more character into a bigger sprite, and remember, PC games can be much bigger than say a GBA, so sprite size is usually not an issue. Also, you should make certain parts bigger, to make him seem more dramatic and give him more character, such as bigger shoes, bigger shoulders. And try a better pose, unless this is one you are planning to animate, in which case, get animatin'!

Below:


Hope this was some help.

Oh I see, its just orange.

Make the orange more saturated, and instead of using light orange as highlights, use yellow.