I can't add anything to the advice Optical gave, but I think you did nice job otherwise. The shading on the headband and belt look very good and the model choice was excellent.
Don't be so hard on yourelf. It is a good base for Elektra. The costume work is pretty good, actually. Some tips (assuming you're using Photoshop): There's a 'halo' around her. Try using a hard-edged eraser to make the edges a little sharper. Or, if you know how to use the paths tool, even better. Trace a path around her, make a selection of the path, invert the selection and delete the unwanted parts. The EXTRACT tool works well when you have a decent amount of contrast between the background and the figure. The background is a little bland, a nice city skyline or something that relates to the character would make it more interesting (when I think Elektra, I think NYC rooftops for settings). The sai could use a shadow.