Overall it looks like you know what you want and how to make it happen. It actually isn't a bad start, you just need to improve on some areas (as we all do), so don't really worry about getting it perfect the first time around.
http://img123.imageshack.us/img123/7282/ninjacorrectionthingyom0.png[/IMG] http://img88.imageshack.us/img88/9159/ninjauo1.png[/IMG]
Now as I do with just about all of the sprites that I look at, is I blew this one up super sized. So please bear with me as I try to explain a few things here and there.
(ninja on the right was created by Pickle/IceAxe)
Increase the hair contrast
When creating sprites, it is important that you choose a colour palette that has high enough contrast people are visibly able to see the different shades. However you do not want to go over board and use (for instance) a bright shade of red right next to a very low, dark shade of red. It will give the appearance that things are popping out at you. The same goes with the lower contrasting colours...except in reverse.
The hair on this sprite has low contrast and it makes it very difficult to see the shading. If you must look at a tutorial on how to create/shade hair, give a go at Tana's which can be found here >
http://www.rmxp.org/forums/showpost.php?p=53539&postcount=1
It gives spriters an idea on how to create and shade hair in that specific style (which looks pretty snazzy imo).
Round off a bit
Picture if you will a ninja (look at Lonesight's examples there). Do you see the "ninja" on the roof with the sword? Look at his face covering. Do you notice how the cheek cloth wraps around the head? The same thing should apply to spriting always. You want to create the illusion of depth in your sprites and not subject them to the horrid flat line. This problem on your sprite can be fixed with a few pixels on the sides of the head
Shading Part
I said it once before and I will say it again. The colour palette you choose is critical in the overall production of any sprite. That is one of the first things you need to learn when starting to create characters, autotiles, tilesets, ect. Within this colour palette there should be different shades that you use to shade with. Do not be afraid to use these shades to better your sprite, but overpowering any resource with too much can be a disaster.
Shading adds definition and tone to a character which also adds depth. The more realistic depth you can achieve, the better your work will become.
Blocky Parts
The human form is in no way blocky, but is full of curves. Watch out for excess pixels here and there that may hinder the outline of the form and clothes in general. The excess pixels can really make a sprite look horrible if not properly placed.
Consistency
Lastly the biggest thing I notice from some spriters is their lack of consistency in their work. Try to use only one style at first, and once you believe you have a good grip on that particular style (RTP in this case), feel free to move onto something a bit bigger and more challenging.
It really doesn't matter how long someone has been spriting, another person can and will always find flaws in their work. No one is perfect in any sense, but we do try to limit our mistakes as much as possible.