Hi PGMorin,
Here are some tips for you:
1. Try to pick a background with a color that will make your subject stand out a little more. If you've ever watched movies like Transformers, the cinematographers use alot of redish/yellow light on subjects and blue/teal in backgrounds.
2. The kind of shadow you used looks like there is a single source of light on your model, but in the cave she is in there are lots of lights on the ceiling. She should have multiple soft shadows, or what might look nicer and might be easier to do, is just a more subtle darkening of the wall and floor below her.
Playing with light like this is hard to do in Photoshop, at least for me, because the lighting effects are always 2D. To do it properly, you need to light a 3D model with "lights" in proper 3D space. Since I don't have it and since your model's not 3D, experiment a little but don't waste too much time on it. If you can't get it right, try a different background photo that requires less shadow detail.
3. The fog looks one dimensional and fake. (Sorry!)
4. The hard shadow behind her is inconsistent with the lighting effects you have on her body (face and tummy are brighter than her right arm and right leg) for example.
5. It looks like she's floating over the ground, and not standing.
6. Colors are strange.
Here's what I did:
I took your photo and found a background of death and distraction in a nice blue / teal. I took your photo and desaturated the colours, though I should have removed alot more red now that I take a second look. I cropped her at her hips because though her feet looked like they were on the ground, it still looked a little off and I didn't want to spend too much time at this. And since the "action" is in her face, I thought it would be better to zoom in a little closer to it instead of focus on her body. You'll notice that the first picture looks more natural than the second one, even though they are exactly the same picture.
This took me about 5 minutes to do. With a little more work and finesse anyone could really make her look like she was in the actual photo. It takes some work to get the light and colors right. Check out
https://kuler.adobe.com for more.