Thanks for the comments and critiques everyone!
Akzidenz, I've adjusted the running sprite, and I think it looks better now. Let me know what you think.
As for the robot ninja guy, that was just a quick thing I made just to add an enemy on the screen. When I do get around to making the enemy sprites, I'll put more effort in them.
Ryumaru, I'm not sure what you mean about the color/shade thing. You'll need to clarify.
And I'll try to make the sprite look more "female". It's a little tricky because the sprites are so small.
And about the cut scene, the backround may or may not change. I'm not sure yet.
gliding, I'll see what I can do about the hair.
I'm glad you like the style of the character!
AIGuy, I may decide to use the exact tones of the original Gameboy. Though at the same time, the tones of the Gameboy games that I've played on my computer are closer to what I have.
pkmays, I like what you did with the cut scene, so I incorperated the solid shading style into a new altered cut scene pic.
Oh, and I took your advice and made her holding her sword while running. Very good idea.
'Glad you like my character! I'm always for strong leading female characters as well.

Before

After

More to come later.