Of course the Shining Gyarados in GSC was my first. Then I found a Shiny Meowth (Route 38) on Silver but accidentally fled (ARGH). The same thing happened to my first GBA Shiny, a Lairon (Victory Road), in Ruby.
I did catch some Shinies, though. In another file on my Ruby, I got a Shining Mawile @Sky Pillar, and a Shining Duskull in yet another file while I looked for a Chimecho. I traded both to my first Emerald but some idiot stole it in China. Oh, well.
But on my second Emerald, I got a Shining Tentacool, and I cloned it so I could migrate it to Diamond. I wish I got a Shiny in Diamond... :P