First of all, let me say this is GREAT for your first try. I like how you incorporated all of them into the so fast, without any epic intros. It was quite small, however and I hope that number 2 isn't quite this length.
Maybe a bit more dialouge and humor. After link exited the building, without any dialouge you couldn't really understand what was happening. I mean, where'd Mario get the teleporter/time capsule/wierd machine? As for humor, for a longer show, it really helps keep things going.
A preloader could be nice.
For characters I want, I'd appreciate Sonic, Yoshi, Some Pokemon (not just People), StarFox and if you could...the dog from DUCK HUNT!
Also a Super Mario World BG would spice thing up a bit.