Built from the ground up of Microsoft paint which isn't saying much for me pity me for this is my first. I call him Joe no fingers.
Iffin you want to start making sprites, I will give you TWO (2) tips.
1.) Don't save them as JPG. Not even ever. It applies compression to the image and makes it look rather shitty, no matter how high you turn the quality up. Use PNG, preferably. But if that's not available, GIF is next best, though it's limited to 256 colors. When it comes to sprites, though, you rarely need more than that.
2.) Try to retain a constant amount of pixels per area, or "sprite integrity" as they used to call it in the Labs days. Basically that means that you want your "pixels" to all be a constant size, and not have some appear large and others small. Prox's looks pretty good, so it's a good example. All the "pixels" are lined up and of the same size, and look like something right out of an SNES.
I use pixels in quotes, mind you, because generally sprite sheets are resized to be larger than the sprites were in the games so that you can see'em well on your computer screen. Making a sprite sheet larger makes the number of physical pixels per sprite pixel: the resize factor, squared. In less confusing terms, if you make a sprite twice as large as the original, you now have four physical pixels for each sprite pixel. So if you're drawing a sprite at twice the normal size, you want to draw four pixels to represent one sprite pixel, and they all need to align to this invisible four-pixel grid. Hopefully this paragraph wasn't 100% confusing . . !
Simply put, a good way of drawing sprites to ensure "pixel integrity" is to just draw them at original size in the first place. Work zoomed-in of course to make it easier to see. Then when you're done, you can pixel resize it to twice as large, and all your pixels will be perfect. 16x32 is a good old-fashioned size to work in; even Mario in the original SMB was that size, though generally it doesn't matter if your sprites are a little bigger than this, since you're not working within video game hardware limitations. When I resize Prox's sheet to half the size, they all almost fit 16x32 boxes.
Somebody else has prolly mentioned these tips before in a less-winded post, but I don't guess it hurts to repeat'em every so often.