Excellent game!

A few suggestions:

1] At the menu screen, add a small key delay so that holding the up or down button doesn't scroll through the options so quickly.
2] Make the up arrow the button to jump.
3] Perhaps add instructions in the game?  If you decreased the font on the menu items, you would definitely have room to add an option to view instructions.
4] Keep the grey box displayed all the time?  It might make the point of the game more clear.  You might want to even consider changing the sprite into something like a flag.

I made a screenie.