Here's my basic tips on shading.

When it comes to shading there are basically 3 type of shades that you should always use to make them pop out more or realistic. The first type is your base color which is the main color like blue. Once you color in your base color, add in the darker shades of blue on the base color (This will basically be your shadow). Next you can add in the lighter shades, in this case a light blue (Sometimes the whiter it is the better, depending on the art). You can smudge the shadings to get more different kind of shades (Smudging is a tool in GIMP and probably on other programs too).

The more shades you use the better it looks, imo. But, I don't know if it is the same case for pixels since you have limited pixels to work on, meaning less shading.

As for shields and swords, different type of textures requires different shadings. I haven't able to completely get the whole different textures down but you can always analyze swords, how the light is very reflective and shadows are are very distinctive. There is a fine line between light and dark on swords.

Hope that helps.

And Practice makes perfect. Good Luck!