Give the guy an A for effort, it's just not fun.
Graphics: Poorly drawn, cheeseily animated intro, followed by levels that are nice and long and vaguely depict a western enviornment. Your poorly drawn western robot chugs along, its rotating limbs clearly clipped together with chards. No visual style at all, just a mishmash of textures, vextors, and scribbles. Try going for a more cartoony, stylized look next time. Also, to make a train approach the camera realistically, try squaring itssize every frame instead of multiplying it by a steady number. If it was a motion tween, not AS, try easing out of the tween by about 90%.
Style: Firefly has style. The HalfLife mod Gunmen has syle. Wild Guns had style. This... this is a ramshackle collection of clipart, JPEGs, and Circles. The breakable glasses and the exploding vending machine swere nice touches, the buzzsaw and the train seemed like interesting changes of pace, the spinning poles that serve no useful purpose other than to kill you by touching your gun are a work of the devil and need to die forever. Try adopting a simple cartoon style next time, dude. Something simple like Bonus Stage or something. The trick is to make every part of your world seem like it was born from the same womb as every other part of your world.
Violence: Cheesey, crappy blood randomly spigots out of enemy cowboys as you shoot them in the head over and over again, waiting for them to finally die.
Interactivity: I've rated movies higher than this when they had a really, really nice menu. It's not your actionscript. It's your damn annoying game design choices. I have nothing wrong with the mouse control, it's the awkward, useless jumping (adding something that kills you if you DON'T jump does NOT make it "useful") and the sheer pointlessness of clicking on a bad guy as fast as your reload rate will allow you to while you crawl towards the right side of the screen just isn't FUN. By the time I reachecd the spinning poles on the train, I just quit rather than try again when it killed me. Your game is not fun. It does not grip me, sir. It has a few interesting twists, but nothing awesome enough to make me put up with your boring, inspid gameplay. Try making targets that appear and you can SEE them and you actually have a CHANCE at shooting them before they shoot you. THAT would be a game. This? This is a linear, slow-paced, boring tedious click-fest. Also, here's a hint. If your game is slowing down to a grinding halt because you used way too much detail and a bunch of sprites and gradients, and your game still looks like crap anyway, it's time to try a simpler style.
Humor: Educational Egg teaches us about business ethics! In other news, SouthPark's creators sue and the New York Times votes circular gradients the "Worth thing you could possibly put on a nose, 2005." But the funniest part had to be when the creator submitted this game to Newgrounds and... no... no, I'm sorry. That's going too far. You honestly tried really hard here, I can tell, and I shouldn't dismiss the package as a whole. But really, it wasn't that exciting or funny at all.
Overall: Below average game. It's sad, because you kind of tried to be innovative in a number of ways. It's just that the gameplay is no fun and the graphics slow down the computer but don't look good. I hope you keep trying, but please, look up some articles on the internet about gameplay theory, and develop a simple artistic style that uses simple Flash vector shapes, deformed and curved to look stylish, and see how much you can do with just colors and shapes.