Since the Shiny Gyarados in GSC doesn't count, and I'm not counting the shinies I hacked in Gen 2 either, I've have to say that my first Shiny was a Zigzagoon in Ruby.
Unfortunately, I no longer have him, as I used to item hack in the day and would save with all these codes on at the same time, and one day my Vaporeon turned into a Bad Egg because of it, so I pretty much quarietined that file. Pretty much stopped me using AR altogether until Gen 4 when I would clone Pokemon and nothing more.
It wouldn't be until years later that I remembered that I had a Shiny EB Games Zigzagoon on my Pokemon Box file and then I would later hatch a shiny Zizagoon in Black. Both are still untouched.
I have so many more shinies but since the topic isn't about that and not going to bore anyone, I'll save it.
Currently playing: Capcom VS SNK 2(Gamecube), Pokemon Platinum/Heartgold(JPN)
Sadly, even though i have played all of the games for hundreds of hours, my first shiny was in Black. It was a Darumaka, but then i got excited and accidently pressed Run, facepalmed so hard. My 2nd shinyf and 1st that i caught was a boldore in giant chasm while i was trying to get a shiny stone from dust clouds.
My first shiny in B/W2 (3rd total), was a shiny frillish i found while surfing to seaside cave, the most current shiny i've encountered was actually today, a shiny sandslash on route 15 was the first pokemon i encoutered there.
"The strong one doesnt win. The one that wins is strong."