My first shiny encounter was soo amazing! It was after 454 hours of my very first pokemon game with shiny pokemon (Diamond version). I was training pokemon to complete my pokedex with the high leveled pokemon in the wild. I knew this could happen so I had both hypnosis and false swipe ready on my team, not to mention 100 of every type of ball (besides master and premier). I looked it up on veekun to make sure it didn't have Double Edge/Petal Dance to kill itself, and I took a full 10 seconds between each button press to make sure I didn't misclick. I preceded to save 20 times catching it. It was an unsightly Shiny Gloom. I caught her with a heal ball and evolved her into a beautiful Shiny Bellossom. {<3} Although not very strong, she's been my Sleep user for catching other shinies and rare pokemon ever since.
I once had a Shiny Forretress explode on me turn 1 during a randomizer. Alas that was not my first shiny, nor do I strongly attach myself to pokemon captured in roms, so I can't say I fully know how frustrating that was for you. D: