Athena's Sprite Road.

[Thor]

There are several problems with shading, the most noticeable of which is on the clothes. The shadows on a top and a skirt such as those on your character would not "work" that way in terms of shading. It makes it feel flat rather than have depth, which you want to avoid. Clothing has folds; try to incorporate folds into your character's clothing using shadows and highlights.
On a colour-related note, you should try to hueshift your colours a bit; take the skirt, for instance. Rather than a simple step down in that particular hue of red, try to make it more purple as the colours get darker. Likewise, try to make it more orange as the colours get lighter. Here's what I mean: (Yes, I know the shading makes the skirt look more like shorts, but I think you get the idea)

I'm sure there's a better way to explain this visually (Gors will likely tackle it), but oh well. It's fairly important you fix the shading and palette, though!

PROTIP: Using a dark colour can help immensely with contrast issues: I highly recommend using something like an off-black or a dull blue-grey, as you can easily see the sprite (unless it's fairly dark) as well as pick out contrast issues. Hope this helps~