It’s kind of confusing; dithering is something that comes up in every pixel art tutorial because it’s fairly unique to the medium, not because it’s something you should be using all the time. Examining your example up-close, a few issues are affecting your end product.
1) Sphere Shading- spheres are kind of odd to get the hang of, but essentially think of the different shades from light to dark as a series of concentric circles surrounding the brightest spot, each slightly offset diagonally from the last.
2) Uneven dithering. You appear to be dithering (alternating pixels) throughout your sprite, when you should dither only where two shades meet, having a more solid swath of a single shade between the borders. For my dithering example, see how it goes from dark every fourth pixel for two rows then to every other pixel (a 50/50 mix), and then reverses with light every 4 pixels?
3) Your sphere isn't circular, nor is it symmetrical. Check out the how the bottom has a longer straight stretch than the sides, and that the bottom right has a different "curve" than the other four. You can't trust image editors to make pixel-perfect circles, you have to check them yourself (remember, four-part radial symmetry). I suspect it's a very low-level problem with rounding to the nearest pixel depending on the value of pi or something.
Getting the hang of this stuff takes a little while; I would pretty much count on the first couple of attempts looking funky, mine sure did. Here's a both of the above examples put together (and it's still not super smooth):
If you want very smooth, simply skip the dithering and use as many shades as you can to go from light to dark. And remember, "shiny" translates into very dark darks to very light lights. Here's the new stuff at actual size: [attachment=10695:ActualSize.png]