That only works for the sprites where you're still viewing the player directly from the side, Romio. The issue is all the NEW sprites that have to be made.
Even if you just had Sonic tilted 90 degrees while only able to face forwards or backwards, and assuming we coded in rotating the other sprites by 90 (that wouldn't be impossible at least), that's at least 6 extra sprites to make: 2 top-view diagonals, 2 bottom-view diagonals, and directly below/above. Now considering there's usually something like 33 frames per-character that have angles, that's 6*33, or 198 extra sprites to make for a character total.
When you're going crazy and allowing to face any angle vertically though like in my example image, you may as well give up with spriting a character and just make MD2s instead. Because now that's at least 12 extra sprites to make per frame (5 top-down, 5 bottom down, directly above and directly below, if you're going by my example image), so 396 extra sprites. That's beyond the average spriter's patience most likely for a decently sprited character. =V
That's just for standing on a wall directly to the side. =V