A really great idea, it had me hooked from the start. Unfortunately there are a number of short-comings. Obviously these are due to this being your first game. I would hope you would consider making a sequel to this to iron everything out, as it has the potential to be a very very good game.
At the moment, anyone who loves left clicking or holding down mouse buttons will LOVE this game. For those like me who do not you'll be wishing for a feature allowing bulk buying. The lack of save games has also been covered to death.
My main gripe is not with those though. It's the balancing. While the dungeons should be the main focus, they are far from it. They are not the best source of loot, nor exp, nor anything. Your best bet in this game is to build up the city (see: build LOTS of lumber and houses, wait for 5 hours, then win). Suggestions: Your forces gain battle experience and go up in ranks/level up. Also, more loot. Perhaps hidden items (armor/weapons/other) found in dungeons.
I also have no idea how my army will fare in a battle. I have to hope for the best. And it seems I either obliterate the enemy, or they obliterate me. So if I lose, I have no idea if it was a close battle or not. Suggestion: Have the scout give advice about relative army strength. Also, give a count as to number of units I killed (seeing my hero getting 100+ kills would be cool). Some animations showing your army in action would be ideal here.
On a positive note, your drawing skills seem fantastic. It's a shame you didn't put them to use for an ending graphic, that would have been very rewarding.
As I say, I would LOVE to see you come back to this idea and re-work it with your obviously improved skill set. Great potential here.
Oh and just because everyone else was posting it. My final army to win:
300 Henchmen, 500 Rogues, 500 Warriors, 200 BattleMasters, 400 Thumpers, 850 Destroyers, 825 Gnomes, 400 Knights, 9 Clerics. That is all.