Thanks, Facet! You basically addressed all the things I was trying to do and just couldn't get there. I think I got caught up in being realistic a bit too much, which is especially silly considering it's for a small child.
So, here's my attempt at incorporating all your crits:
It's been a bit difficult trying to nail the glow effect from the moon, but I'm satisfied I've at least got the colors right. I made another version with some dithering to try and soften/expand it a bit, but I'm not convinced it's working for this pic.
Looking at it again, I might tone down the beef (teehee) on her back legs some, to try and capture that nice arc on your edit. Maybe not worth it with the udder blocking it, but I guess I'll try it and see. Also working more on the face, it's not nearly as expressive as yours.
One question about your edit: are the blue-white patches on the body meant as shading, or just color variation?
Thanks much!