It's hard to critique most of this stuff without really knowing what it is. A lot isn't even pixel art. Why did you post the shading test? The car sort of looks like a paint over.
The only one I can really comment on is the knight sprite.
The costume is a bit strange, knights usually have at least some armor, but that's your choice.
The pose and proportions a bit off.
Here is a quick edit.
The knees don't have to buckle like that, it looks like he's squatting. For the most part, a straight up stance usually has straight legs that aren't too far apart.
If he is not using his shield in battle (which is what I gather) then his arm shouldn't be out to much, it would be as relaxed and close to his body as possible.
You use pillow shading (shading dark to light from outside in). Instead chose a light source (usually from above). Use a bit more contrast on the dark colors too. There's not much point shading if the colors are too similar to each other.