And there's people to help you out, too. Usually from getting tips on improving the sprite itself to actually help improve the sprite's quality during the WIP (work in progress) phase. Layering also helps too. There are also plenty of spriting sites such as Sprites Inc and TSR if you want to sample a style.
However, you might want to avoid pillowshading too. Most of the time, it's rather uneeded unless you are spriting a pillow. But what it really means is that the light source is trapped within the sprite when it has more than one shade. People commonly start out with "the big three styles", Sonic (Sonic Advance and Battle), Mario (Mario & Luigi: Superstar Saga or in some cases, Super Mario World), and Megaman (Megaman 8-bit, 16-bit, and 32 bit ranks, such as MM7, which is the mostly used style aside from MMZ style), then move on into more, origional styles periodically. Top spriters all have gone through this too.
Although I don't reccomend it, there's also sprite theft. It occurs when someone saves and re-uploads a sprite that wasn't origionally thier's on thier page, bragging about what they made. This action's frowned upon by many spriters.
Though there's many ways to make a sprite, you could make a spriting technique that suits you best, nobody's stopping you. I hope this helps.
I almost forgot, since people showed thier samples, might as well hop on the dern bandwagon:
This is a sample of my worksI like my style because it allows to a certain extent to emulate other styles as well, simplifying them to a certain extent.