The first shiny I
obtained was my shiny Meganium (then a Chikorita) at an Opening Event for Heart Gold/Soul Silver at Gamestop.
The first shiny I
caught was, technically, my red Gyarados, but everyone who owns HG/SS has a chance to get one, so I don't really count it...
The first shiny I
randomly encountered was a shiny Sableye in Emerald, but alas! I had no Pokeballs
The first shiny I
Pokeradar-ed was my Shiny Absol, Ialach (celtic name for "shining fur", or so the internet says), and he's my baby

I dote on him. He's also my first Pokeathlon Medalist (he has all the medals) and was the fastest Pokemon in my Pokeathlon team (5 big stars). He likes sweet things, which is why I have no more pink poffins.
In total, I have 5 shiny Pokemon (event Meganium, event Suicune and Entei, red Gyarados, and Ialach)