You need to fix these things, but I'm definitely going to keep playing.
I don't know if anybody else had this problem but I didn't see anybody else bring this to attention, but I can not shoot diagonally down left or right. When I tried to get the torch challenge done on the 2nd level, I couldn't do it for that reason. One of the torches is diagonally down, and Cactus McCoy is a fatty and can't fit through the hole.
Also you should extend the time challenges, I the challenges are supposed to be difficult, but did you test each level yourself before setting a time to beat? If you didn't you probably should, it never seems like I'll complete those because Cactus McCoy is again, a fatty and runs really slow, and take into account the enemigo battles at the end of the levels cut significant amounts of time off your final one, because we have to wait for THEM to drop down into the screen.
But other than that I really love this game, and I've been coming back day after day just to play it a little bit, it's those difficult yet fun challenges that keep me coming back for more. I hope to see future Cactus McCoy games, even if he's not a cactus he's won a special place in my heart. Not very many flash games have done that ;)