The hero sprite looks good and has some nice/fun design aspects.
Some things that you should consider:
The use of black outlines is very inconsistent - it does not relate to the lighting on the rest of the sprite.
Some of the internal lines of the sprite need a bolder approach to really distinguish volume and depth - particularly the arm.
You should start to think about a game palette that will be used when creating all the assets - this doesn't need to strict but should at least givea unifying feeling. maybe some colours could be strict so that you can give all art and sprites a some colour unity.
The detailing around our left eye is lost.
Anyway I made a
quick mockup using your sprites. it illustrating the outlining issue on the enlarged sprite and hopefully shows you that so far the palettes of the background and hero don't mix too well. * the sprite loses priority to the backgound. maybe it'll give you some ideas? ^_^ wouldn't suggest this palette i just used brightness/contrast to alter yours