Oh god, I remember my first shiny I found in Ruby. I was underneath Cycling Road, and heading to Mauville City because I needed to stock up on Poke Balls (I had 1 Great Ball). On the way back, I encountered a blue Electrike. At first I was like "What? Aren't Electrike green?" Then I realized it was a shiny pokemon, as my friend was telling me. I suddenly got so excited but it quickly died down after I remembered I only had 1 great ball. I took a deep breath, and told myself to calm down, I can catch it. I sent out my marshtomp, and just used water gun, to weaken it slowly. I then switched to my HM slave ZigZag, and used Tackle on it, which got a critical, and almost made Electrike faint. I then thought, this is the perfect time to catch it. So, I threw the great ball, and got a few rocks, and I knew it was mine. But at the last rock, you can guess what happened. BAM. Electrike escaped.
At this point, I was so angry, I felt like throwing my gameboy out the window, but I barely managed to stop myself. But after that, I've had better luck with other shinies, such as a shiny linoone I found in my Emerald. What better than a shiny HM slave?