It's a pretty nice gun, but yeah, there are a few things that should be mentioned... Let's see:

Light generally comes down from the top-left or top-right corner, and yours seem to come from below for the most part. For starters, you should generally just stick to one source of light. That's what i do anyways, considering the fact that Earth only has one star nearby. =P

The shading on the shapes of the gun is a bit off. The side panel on the barrel, for instance, is flat, but you've shaded it roundly. Flat surfaces should generally have a flat color, perhaps with some shading on the edges to make it seem more interesting to the eye. This also goes for the trigger, which seems to take on a round shape, rather than the flat one it actually has. You also seem to have shaded the round shaped flatly. It's mainly the barrel that's shaded weirdly, mind you. The rest is better, but still not quite, if you get what i mean.
But you should also be careful that you don't overshade anything, because too much redundant shading is as bad as lack of shading.
Another thing you should note is that the object in question potentially casts shadows on itself, but for now, don't bother too much with this. It looks better, yes, but it's also hard and time consuming, which is why i rarely do it.

You should also notice that you're using an awful lot of different colors with the shading, when it's only really necessary to use ~5 greys and a couple of browns.

Also, make sure that you keep your non-vertical/horizontal lines perfectly consistent. It clearly shows on the handle that there are a few inconsistencies. If you can't be assed to do it by hand (which is perfectly fine, by the way), at least make sure that the line tool doesn't screw you over.

And finally, along with the trigger and cock, the finger-guard thingy should be more round. =P

I took the liberty of re-touching your gun...



It's a pretty quick job, but notice how the light seems to come from above, and also notice that the surfaces that face away from the light are darker than the ones that face towards it. I also fixed up the inconsistencies on the handle, so the lines constantly go three up and one left (three down and one right, if you want). Also note how there's fewer colors used for the shading.

Hope it helps!