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I caught one in Emerald or Sapphire, if I remember correctly. It was hard, but I confused and paralyzed it, then threw more than 10 Ultra Balls to finally catch it.
I remember fishing in Route 119 in my old Sapphire playthrough out of boredom. When I got a bite, it turned out to be a Feebas. I eventually caught it (and now I don't have it anymore).
I never bothered to catch a Feebas.
I don't care how good Milotic is supposed to be, I'm not catching something that hard to find just so I can get a damn Milotic.