Good demo, I enjoyed it! Though, I was a bit disappointed it was so short. I can't wait to see where the story goes next!
As for what needs improving, basically what TakingFlyte said. I also love that we can pick our pony! I hope we also get to pick our cutie marks and colours if that ever becomes relevant.
Good story so far. Maybe make it so we try to find our way back home. Also, does that Jeff The Killer picture have to be there? I could barely concentrate with it staring at me. "Go to sleep." Yeah, right. That's not gonna happen fella...