Make sure you keep the shadows going in the same direction.

Take a look at your first rock example again, not the most recent one. In the right-hand side, you have shadows falling to the right of the rocks (from the drop shadow effect). But if you look at the hill that the rocks are sitting on, the LEFT of the hill is in shadow, and the RIGHT of the hill is lit up. So in that example the rocks and the hill have to contradictory light sources.

You can obviously HAVE multiple light sources in an image, but generally those sources should affect every object alike. There is some artistic wiggle room on this -- ambient occlusion shadows are a thing -- but in general it helps to keep consistent lighting throughout.

I often make a blank layer on top of everything else and just draw in some lines denoting the global light source and which angle it comes from, and blotchy blobs of color showing weaker, local light sources and how far out they extend before attenuating. I name the layer "Light Reference" or "Light Ref" and just hide and show it any time I want to check if my shadows are falling in the right direction.