The first shiny I saw was a shiny Zubat, way back when Crystal was first releaased in the UK. I didn't catch it. :( Later, I hatched a shiny Cleffa from the egg you're given but that had a 50% chance to be shiny so I don't count it.
For me, my first proper shiny was on my first playthrough of Emerald: a shiny Seviper. I had just got the game and didn't know what Seviper looked like, it was the first Seviper I had ever seen. It took me a while to figure out he was shiny.