My first ever shiny was a Meditite caught on Mt Pyre in Sapphire. I don't have it anymore though... My oldest shiny I still have is a Bronzong I caught in Pearl.
Once upon a time, 7-year-old ~NinfiaLazuli~ found a shiny Bidoof in Pok?mon Diamond. She was all like "OMG SHINY BIDOOF LOOK MOM LOOK DAD LOOK RANDOM UNICORN DOG SHARK THING IN MY ROOM I FOUND A SHINY BIDOOF!" Then she caught it and named it the most original name ever, Bishiny. The end.
Generation six! It was a beautiful shiny Carbink! I'm very glad that I knew that it's colour looked a little different from what I'd seen in Carbink's official art, or else I might have thought nothing of it and assumed that the sparkling was just part of its animation! Come to think of it though, I did probably come across a shiny in generation four or five, I was too silly and inexperienced to know. :I
Scrolling through picture of my iPod I just remembered my first shiny. Aside from the Pancham I caught in the friend safari, my first shiny was a Chuchoo from a horde battle.