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Talk.Origins seems to agree that micro evolution could be defined as "the shifting of gene frequencies in a local population." (Pardon me if I shouldn't assume that you guys would agree).

Microevolution = change of genetic information. If you look at it from the population level then that's a shift in gene frequencies (which seems a rather complicated way of saying that there are now more new creatures than before).

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If gene frequencies can shift based on environmental pressures, this doesn't mean animals can grow gills when they never had them before.

Your general definition neither states that this can or can not happen. You merely said that there are now more creatures with a specific gene than before. If this gene is responsible for growing gills then this means they can grow gills, if not then not.

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In other words, if we observe micro evolution, we still haven't observed anything that explains the creation of brand new, more complex creatures.

Since we're talking about gradualism passed on from one generation to the next you obviously won't get a "brand new" creature. Remember the eye examples posted above ? If the parent organism had a single light sensitive cell then the child will not suddenly have a complete eye with iris and muscle control. What is possibly however is that it will now have multiple light sensitive cells, or a protective layer above the cell.

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In fact, micro evolution just kind of sounds like a rewording of the idea of natural selection.

Remember: natural selection filters, mutation changes. If there was no change then there could be no frequency shift.