The weapon variety was cool and the paralax backgrounds were nice. In general you nailed the grimy post-industrial dystopian feel.
I think the gameplay could use some more variety-- maybe some additional mobility, a melee attack or some deflecting ability. Your option in most scenarios (especially when constrained by the level) is to just tank damage and get out as many bullets as soon as possible to take out the enemy. Some of the enemies were easily exploitable too-- you can stay just out of range for the big purple guys, and with the huge green guys at the end I just stood underneath them and fired upward (they can't hit you when you're directly below them). Maybe thats intentional but the first time that happened I ran out of ammo for my gun so i stood there for 30 seconds firing tiny bullets and it wasn't the most fun pacing. After that I mainly ran past those guys.
Loved the train levels and I liked the spritework, nice job overall!