In my HeartGold, I encountered a shiny Gastly and caught it. I traded it to my brother, he trained it to Haunter and traded it back to me, so now I have a shiny Gengar. I gave it back to him, and he Poketransfered it to his White, and traded it back to me when I got Black. Apparently, it had Energy Ball ;_;
I saved in front of Lugia and same with Ho-Oh in HeartGold, and battled them over and over again. Then I spammed Ultra and Dusk balls until I caught their shiny versions. >:D I did the same with Kyogre.
In my HeartGold, I was training near the place south of Goldenrod, and I was looking for a male Ralts. I eventually found a shiny Rattata, and after a few days a shiny Ralts in another outbreak.
I used the Masuda Method on my HeartGold. I traded Lt. Surge for that Pichu from another country, and evolved it to Pikachu and then to Raichu. I breeded it with another Raichu I evolved from a Pikachu, and after around 50-70 hatches I found a shiny Pichu.
On my Black, I was randomly walking in some tall grass early in the game and there was a shiny Lillipup. It was on Route 1 there, and I only had 2 Pokeballs left after catching a Lillipup, Patrat and an Audino. I didn't catch it, though.
On my brother's SoulSilver, he used Action Replay to get a shiny Arceus. When he was done, he had more than three boxes full of them. He gave one to me for no reason, and it was holding an Iron Plate.
I also, on my Diamond, used an old cheat to get a shiny Turtwig. Restarted the game, and did the same. Then I did Chimchar, Piplup, Piplup, Turtwig, Chimchar, Piplup, Chimchar, Turtwig and then Piplup to end the massive chain. All of them were shiny, but I didn't use AR or Gameshark or anything to do it. Just an old method.