What type of style are you aiming for? A realistic/gorey one, or maybe something lighthearted and cartoony? If it's the latter, you could put a little face on him, like big white eyes with black pupils, maybe even a smile of some kind. If it's more mysterious/realistic, than you're pretty much in the right direction. It would be easier to critique in situation, with bg tiles and whatnot, but you have no outlines, just solid colors. Which is fine, but always keep in mind that you want your character to always be able to be seen on the game screen. With a little tweaking of the arms/legs, you could add more depth, but having it top lit, shading darker at the bottoms, with highlights toward the top. The brightness is relative to tiles, so I can't comment on that right now.
What will gameplay be like, a run and gun platformer, just shooting from your head instead of a gun? Or a kind of top down rpg? Like I said, context would help us/me determine what is good/needs to be improved.