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From the top:
Frame 00/01:
-This sounds really empty. I don't know if it's because it's lacking bass, because the melody is lacking reverb/fullness or both.
-You missed a lot of complexity that was in the original drums for this song. For starters, frame 00 and 01 should have different drums - there's lots of hats, open hats and a descending tom fill for starters.
Frame 02:
Doesn't sound as full as the original. It's really missing something that makes the original want to jump out of your seat here, you know? Could be melodies or percussion or volume modulation not being right.
Frame 03: The chords on MMC5 pulse 1 and 2 - in the original song, half way through each note it'd get quieter and repeatedly re-play the notes. You'll hear it if you listen closely.
Frame 06 on: This is the best part of the cover. However, in frame 08, at the end, you miss the crashes/percussion that play in time to the high C#6s.
In general the cover needs more complexity and sound design to be impressive. That doesn't mean it has to have the same complexity and sound design as the original song - for example, you could make use of arps, duty cycle changes and other NES specific gimmicks. However, what you take away (in complexity) you have to give back (in a different kind of complexity).
(Also, it strikes me as more appropriate to use VRC6 for Cave Story covers, so you get access to 6.25% duty cycle pulse waves and saws <.< >.> But that's just what I would do)