The first Shiny Pokemon I ever found was a Fearow in LeafGreen, at Three Island near Bond Bridge. I was doing some training when it suddenly appeared from out of nowhere. I captured and transfered it over to either HeartGold or SoulSilver. However, it wasn't the only Shiny Pokemon I encountered and captured. I also found and caught a Rattata, which I evolved into a Shiny Raticate. As far as where I found that one is concerned, it was at Route 34 near Goldenrod City in SoulSilver.