Shading is hard, and even if you have the light direction and basic shape of the shadows down it can still be tough to make it look good. This thread documents how I learned how to shade, which might be helpful to some of you.
Note that by the time I started shading my art, I already had a grasp on perspective and 3D visualization. This may not help you much if you're an absolute beginner artist.
Part 1: That time I drew a weird SonicArt programs that support layers and clipping are recommended. Don't use GIMP, it is really really bad for this. I used MediBang Paint Pro.
First and foremost, my current shading style is directly descended from what I learned from copying this tutorial:
https://www.deviantart.com/herms85/art/How-...gehog-374292113I simply did not try to shade before I used that tutorial. I just didn't. The first piece of art I ever made using the tutorial was this AU version of Sonic the Hedgehog:

Allow me to break it down...
In early pieces like this, I had a layer that I used as a shading guideline, showing light direction. This can be done by just drawing a bunch of lines radiating outward from the light source, and I had them cross over my drawing so that I could reference them while zoomed in. I don't do this anymore because I can keep light direction memorized now.

Onto the actual shading. I started with the hard shadows:

Note, it's good to turn off anti-aliasing when doing the lineart and shading (basically, when you zoom in you should see hard pixel edges). I'll get to why in a moment.
Now, shadow color can be a bit tricky. In some cases you can get away with just shading with black and setting the layer to soft light, however this doesn't work very well for white parts, such as (in this case) the gloves, sclera, and parts of the shoes. The method I used for this first piece was to just have a shadow color pallet and change the color I use when shading each part, using a light grey-blue for white parts. This method is not great, but I'm not gonna get into how I refined it just yet because it's really complicated to explain.
Now , hard edges alone don't really look that great, which can result in shading seeming like it's more trouble than it's worth (the main struggle I had when first learning to shade). They're best used where there is an actual physical edge and at the darkest parts of the object. This is where gradients come in.

So, the reason you should have anti-aliasing disabled is because the easiest way to get those gradients where you want them to be is to use the magic wand tool:

This lets you select individual chunks of the image to add gradients just to them. Anti-aliasing makes this more difficult, as it makes the edges blurry, so you can't select them properly. Your gradient should be from the local shadow color to either the base color or transparency, depending on what your art program of choice supports.
I did the same with "highlight" gradients (in this case just white and set to soft light), completing the shading:

After this, I considered my AU version of Sonic complete. However, it would not be long before I began to refine this shading method. Stay tuned for part 2.