WOAH! There's really a lot to say here.
Let's start with the characters: you've got plenty of imaginations, and I love that octopus one, BUT:
1st character: this one is too simple, it's made of a square and a rectangle! That won't do it. How does he move?
2nd character: the best one, but it's not clear what those stripes on his head are
3rd character: original but kinda hard to understand: is that a fin on his head? Does he have a cape and a mask? He has no feet too, how does he move?
4rd character: to be the main character he needs more detail, people want to know how the main character looks like, and a silouette isn't good.
Concerning style:
- The characters look FLAT! The 3rd one is okay-ish, but the first two look like they're paper-thin, that's no good.
- You don't seems to have a clear lightsource, or if you have one you used it the wrong way, especially on the 3rd character.
- Maybe you don't want to use Anti-Aliasing too much (do you know what it is? here is a topic about it
http://www.wayofthepixel.net/pixelation/index.php?topic=10051.0 ), but at least you should use good shapes. The head of the octopus should be rounded more, and for the head of the 3rd chara you could have used a circle, instead you used a weird circle-oval.. Don't even get me started on that block-sheep!
SO! Here's an edit I did for you to see how it should be done
you had good ideas, you just needed to think a bit more. That block-sheep is too dull to be a character, it looks like a rock! add some features (as I did)
The octopus is good, but you could add some variety to that straight silouette (as I did)
The third one is a mess, you should try to make his features recognizable (as I did, even if I still don't know what that thin-thing is)
The character.. well, I've added some details.
Hope my post has been useful enough!
EDIT: almost forgot, I've added shadow to make 'em look 3D-ish, that wouldn't be your case since you've a lateral point of view in your platformer.
EDIT2: by the way, if you're doing a platformer, you should use sprites seen from the side (like my avatar)