having the rest of the beast that this leg belongs to sketched is pretty much neccessary, otherwise shading it as a standalone object will all it would be much use for. You need to focus on the lightsource, and what parts will be in shade, it looks very pillowey. Also look into fur texture (assuming its a furry beast). You have a lot of jagged lines, whilst aa will help smooth them out, try and reshape the lines themselves to a better form.
shadoron - i didn't see the words "arcadey" mentioned anywhere, and dithering is just one technique that can be applied to any piece, not just low-color game graphics.
