PyGame

At some point you will run into the limits of web technologies and GameMaker and you will need to learn another language. Python is an excellent next step. Pygame is a module for python that will allow you to easily import and use sprites in your games. Check it out at http://www.pygame.org/. Once you've downloaded and installed Python and Pygame I recommend that you get started by looking at the Chimp Tutorial. You will also want a good code editor to work in. I'm on a Mac and I highly recommend Aquamacs Emacs. Please note that programming with something like Python is a little more complicated since there is no GUI, but if you're used to using something like PHP or GameMaker code, you should be able to figure it out without too much difficulty.