Okay, long story time!
First Shiny Seen: Regice
It was Pokemon Ruby Version, my first ever playthrough of my first ever Pokemon game. I was 12 and HAD NEVER SEEN A REGICE BEFORE, so I didn't know it looked different! I mean, if shiny Regice was like, green or something, I would have raised an eyebrow, but NOOOOOO, IT'S A LIGHTER SHADE OF BLUE! Yeah, I saw the sparkles, but I thought that was because it was a legendary! (Yeah, it was also my first ever legendary battle) I ended up knocking it out because I was careless, used an attack to experiment if it would OHKO it, which it did. I would have never tried that if I had known. I resetted and tried again, and then noticed that Regice seemed to be a bit darker blue this time. Also, no sparkly thing. I didn't pay it much mind and only years later did I learn what it really was.
First Shiny Caught: Wurmple
It was Pokemon Emerald Version, years after the shiny Regice. I finally found another shiny, and it was quite a difference (from a legendary to a 3rd gen version of Caterpie? Really?). At this point, I knew what a shiny was, so I made sure to catch it. If you are curious, it evolved into a Silcoon/Beautifly. Anyway, later on I started a new Emerald save file, and it was deleted forever.
First Shiny I Still Have: Tentacool
Also in Pokemon Emerald Version. Found it while surfing and just as I was thinking "huh, maybe I should use a repel". Good thing I didn't! Anyway, for personal reasons, I had to reset my Emerald data again, but this time, I saved the thing (along with my main team from the game and some legendaries) by sending it to my Soul Silver Version, and from there to my White 2 Version. I haven't evolved it yet, I plan on doing so when Pokemon Bank comes out so I can have both shiny Tentacool and shiny Tentacruel in my X Version Pokedex.
In case you're wondering, all three of these were before I got to the Red Gyrados in Soul Silver or Pink Dratini in White 2. Gyrados was my 4th Shiny and Dratini was like, my 20th (I got A TON of shinies in X version).