Whoa! That axe is bigger than he is. I doubt he'd be able to hold it, even if you dared to stretch the laws of physics to the point of abstraction where they almost don't apply. To give it more weight, try lowering (possibly raising?) the arm supporting the most weight, closer to the axe's head. (Note in the reference you posted, the arms aren't at an even heights.) And I realize it's only an example, but the axe facing us does destroy the illusion of depth.
Light-source is inconsistent. Looks like it comes from the upper left on his head, legs and forearms, yet the shades on his arm appear nonexistent (or coming from a different direction, at least) strangely enough. Pick a light-source out--for example, overhead--and fix this.
The palette is somewhat bland as well. The sprite itself is basically made out of browns; it's pretty much fair to say it wouldn't look very different in sepia tones. Throw some variety in there! Changing the color of the loincloth would be a good place to start, to blue or green, for example. Adjusting the values on the skin could also help (make light colors lighter, dark colors darker). Right now they're pretty lacking.
Hue-shifting is something you might want to implement, or at least read up on, as well.
Also, it seems this sprite is seen from slightly overhead, much like battle sprites taken from an RPG (that it?). If so, his head needs to be adjusted. It's as if he's looking at us and not whatever he's facing.