First things first, I assume that you are young and this is your first game (or one of your first)?
I played to Phase 16. You have some good ideas going. Switching characters to alter the level slightly is a nice idea, though you only used it once in 16 levels, and the ride on the big bug where you had to constantly go from island to island to keep afloat (I'm guessing it was water) made a nice break from the, honestly, monotone gameplay.
Now there are a lot of things you need to improve on to make your game more compelling.
Your graphics consist almost solely of solid shapes with maybe a little texture in them. This becomes really confusing after a while, since the colors alone does not tell the player how the character will interact with say the big greenish yellow cloud in the level with the guy with the flamethrower. I thought it was a noxious cloud and stayed away from it at first. You might know what color in what level does what, but no-one else does until they've tried touching it.
Your characters also need improvement. Take a look at some anatomy tutorials, and if you're going to go the pixel route you should take a look at some spriting tutorials. There is a thread here on the forums with links to some of them, including "So you want to be a Pixel Artist?", by Tsugomori, one of the best ones you can find on the net.
Sprite tutorial forum thread
So you want to be a Pixel Artist?
Also, pick one perspective and stick with it. Changing between side and top perspective is just confusing.
Your music needs a lot of work. What you have now is mostly disjointed notes and sounds on a loop.
I'd suggest sitting down with some music and listening to it over and over, each time focusing on a different aspect and how it plays out with the whole. Musagi is a free program which have a function that tells you when your notes dissonate with each other. I doesn't help you with constructing melodies, and more advanced composers can make dissonated notes work for them, but for a beginner it's a good tool to start with. You also get some aweosome NES style instruments that come with it.
Your gameplay pretty much consist of walking around very large areas and touching a star to go to the next level. Not very exciting. First, you could reduce your levels sizes by half. Since there's not much going on in your levels you don't actually need the space, it only makes the player bored when there's a huge stretch of land to cover and nothing more/else to do.
As a player, I don't understand why I can't keep certain things when I move to a new area. Take for example the shoes with makes you go faster. You give them to your player in a level and when he moves to the next one, he loses them, for apparently no reason. If you're going to take stuff away, at least explain why.
In short, you need to tighten up your gameplay to keep your player interested. Add in some way to combat the enemies. I did get a bow eventually, but it was pointless to use it. It only slowed the enemies down slightly and I think I ran out of arrows, even though there was no arrow counter.
Also give the enemies something more to do than just bouncing around the same pattern. Have them roam around a little on their own and when they spot the player, have them charge at him. And give the player a health bar. In a slowpaced game like this, instant death easily becomes frustrating. There are a great number of ways to do simple, but effective, AI. A good place to start is the Ghost Shooter tutorial. It's very basic AI but after doing the tutorial you can easily experiment with it and do more inventive stuff with it.
Just continue making games and try to improve =)
A lot of your complaints were design choices that were done intentionally...
To be perfectly honest, you need to drop that mentality if you want to improve. No matter how much of a design choice it is, if a player tells you he had a problem with a part of your game and consider it a problem, chances are it's an actual problem. And from what he wrote, I'd agree with him. That is why game studios play-test their games, because it's easy to get to get blind and not see issues that others see, just because you're used to seeing/doing it.
I thought the white guy looked like a bunny