(first ever Critique on DA so ill try my best not to me an ass ^^ although iv critic-ed a lot in my course so im not a total noob)
The shadeing and highlight are amazing. The depth and areas they have been put, they have clearly thought about the lighting and feel of the painting. As well as the edges having outer highlight lines, this really helps list the character of the page.
The thing that really struck out and amazed me was the effort in the small details, that have made the huge differences to this piece. The glaze on the eyes all those loos strands of hair. it really makes it stand out from other MLP Art work a heck of a lot.
The only downfall i can see with this is that she is a little too shiny, like she has just been hit by rain. Its still a lovely look and works well on the body and hair but it looks a little rubbery on her leather hat.
But as a howl a very impressive and outstanding piece of mlp art. that's probably why its the first one Iv ever gave a Critique on.
This wallpaper's coloring is pretty phenomenal. It is very colorful but at the same time does not have a mind-spinning mess or a poorly focused work that other people could end up creating if they used as many colors as you did. The backgrounds colors are all soft and doesn't distract.
Applejack's proportions might not be show-accurate as your proportions are much rounder than show-accuracy, but that's the very thing that still manages to keep them easy to relate to.
I cannot be entirely sure what level of realism you were aiming for, but here are some of my thoughts on the shading and lighting.
We can plainly see a yellow area on the top-right corner. Presumably, that's the sun so that should probably be the biggest light source here. It is positioned to Applejack's side, but the lighting on Applejack if anything suggests one in front of her; that's being a whole 90 degrees inaccurate. Not that it totally ruins the piece, but rather, it's a curious observation if you actually sat down and tried to analyze it.
As an earlier critique mentioned, Applejack also looks curiously shiny as the fur of a real horse doesn't create these sharp and strong highlights. You would need something very shiny and reflective, like water, to have fur that has highlights this strong. The placements of some of the highlights are even more strange as you've put them inside your shadows. I've observed that highlights are created by bouncing light like a mirror, so with that considered, it is impossible to have a highlight inside a shadow if both are created by the same light source.
With that in mind, they start looking like senseless specks of white stuff. There's also that little white spot overlapped by Applejack's right eye that seems to be an unecessary distraction. Little things like that just seems to take away from this piece.
Another tendency I notice is one I also have not yet understood. If you were to look at the bulbous part of AJ's lower mane, there's clearly a shadowed area, but the left edge has a lit part. What is lighting up that edge? I've seen a few people who also avoid shadowing the edges of a shape like what was done here, but I never completely understood why.
There are also a lot of really light lines that is sort of like outlines, except they're broken up quite a bit. That's also something I don't completely understand.
Overall, a great wallpaper, but with head-scratching lighting if you ever spent some time making sense of it.