Part of the problem with the arms—or at least the one closest to the viewer, in terms of depth—is the shading. The light source for your piece appears to come from the upper-left, but the shading on the visible arm appears to come from the upper-right. That arm also lacks enough contrast in its shading to properly pull off the “metal” look you’re going for.

The character’s head also seems too big for his body. (And I say that as someone who has issues with proportions in his own sprite work.) Shrink his head down a little, then determine whether you want his face in profile or in 3/4 view so you can figure out how to best display (and correctly size) his facial features. I see similar sizing issues on his feet, but that can be corrected with relative ease.

The body itself looks great, by the way; the shading and coloring works well in creating shape and depth. I’m not sure you need to use that shade of brown on his pants, but the use of minimal detail and lighting/shading on his pants still creates shape and depth that is readable and understandable.

You're off to a good start here. Keep it up!

Apart from that what StoneStephenT said, more contrast and less grays would make for a better palette in my opinion.

Still, a good start.