This is just me, but I would make the background more blue-oriented, because of the dominance of the color on the character. A bluish purple or maroon could work, too.
The gradient bugs me, but I'm biased.
One of the nifty features of Photoshop is the custom brush functions. Using this, you can easily replace the gradient with a real painterly like effect. If you scroll down the brush collection, you'll find one with sharp sides and faded ends. If you're using PS7, you'll find a tab in the upper right hand side of the main window labeled 'Brushes.' Click on it, and click on 'Brush Tip Shape' and turn up the hardness. Mess with the other functions as you like. Then hand-gradiate the background, choosing lighter shades as you progress. (Hold down Alt for the eye dropper tool)
With enough patience, you should get a nifty fade like this...
Excuse the jpeg compression, but you know what I mean.
You've got the right idea with the sharp contrasts in the shadows, but you could definitely take it a bit further with the highlights. Lay a soft, but vivid light blue for the light from the flame. Even soft glows can make a big difference in surrounding color. Think about how a candlelight can make everything in a dim-lit room a tinge of orange.
That it, unless, you were aiming for global-lighting, in which the glow would be considerably less influencial. Though, I think meager lighting would make this image more dramatic.
The base of her right forearm seems kinda bulky, and the hand holding the flame is a bit large. The head is a good size for stylistic purposes. Other than that,the proportions are great. The next step would be anatomy and foreshortening, for which you can get plenty of pointers at CA.org.
Great job! <p>
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