First sprite? Constructive crtiticism?

[Gors]

as you said, there are a lot of things to improve over this sprite.

first, you need to know a little about pixelart's techniques. Some of them can be seen at the Spriting Dictionary in this section of the forum.

As for now, you need to make the lines less jaggy, and avoid using lines too straight (it makes your work flat and artificial, and this is what you should avoid.

Avoid using black lines for outlines (at least, keep the outside lines and change the inside lines into a darver version of the color near it) because they tend to make your sprite flatter than normal.

Finally, improve your shading. Shading isn't a technique to use 'more colors'. It has a purpose, and it is 'to give your 2d image a 3d feel', so if the shadows aren't drawn like it would be in real life, then it is bad. There a lot of text and tutorials about shading techniques scattered around the web, and nothing keeps you from looking objects around you and see how light interacts with it.

this is all for now, I suggest you to read more about the techniques of pixelart, and improve your work from there.