The only sprites I know of for the Oddworld games are the ones you can get off the Oddworld site (if you look at the Oddworld Universe section it has some animated gifs for some of the species), but they're not what you would call a complete set. It's probably possible to get them from the game with a bit of work, though... I might have a go myself if I find the time.
Just curious, why do you want them?
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I'LL GET MAH STABBIN KNIFE!
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