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I have two master balls because I played through the game once without using it, and then held on to it when I restarted. I used one on Landorus because I was so sick after hunting for thundurus and tornadus I just wanted to catch the dang thing. I'm thinking of using my other on Kyurem and soft...
I've actually had it happen a few times, but I didn't know it was called a critical capture. I didn't notice the noise either. The one time I clearly remember it happening is I poisoned a pokemon and I threw a pokeball and it only shook once. I think it was a sewaddle or something. Nothing big...
I actually caught my first shiny ever this week. It was a bouffalant. Then about three hours later after taking a break, I caught ANOTHER shiny bouffalant. I thought it was insane that I caught one, but two in the same day? Insanity.