First off, looks really nice.

As a J2ME dev here are my comments:

Nicely written code and well commented.

1. Compress your images
I ran your images through pngcrush with the brute flag and the imgs shrunk from 535kb to 165kb

1.2 Optimise your tileset
the thing will be inflated on the device and nearly half of the graphic is not being used.

2. try out amr instead of mp3/mid

3. you still have the thumbs.db in your mgs/guard folder

4. use an obfuscator to shrink your code

The more memory you waste the less you have to run your app with.
On an emulator you can have more then enough but a device will have less.

5. Remove the GameException as far as possible.
Mobiles are slow and try/catches slows it down even more
Make sure what you write will run.
If something can throw an exception, try and make sure that condition does not happen.
If you cannot, like with lib stuff, handle the error there and then.

6. conserve memory
Make sure you null objects, close connections, call System.gc() after memory heavy segments or after freeing stuff
Don't create objects if you do not have to and use the ObjectPool Pattern where possible.

This also includes creating objects in loops. Most devices still only support 1.4.

Again, it looks very nice and I must commend you on the great work!

I would love to see more in the future.