I picked up a second hand Pokemon Ruby a couple years ago, literelly the first catchable wild Pokemon I encountered was a Shiny Zigzagoon :D (Still have it on my Pokemon Black 2). As for first caught ever it was a random Tentacool I caught in my Pokemon Emerald :)
I can't quite remember my first. I think it was a Wurmple in Emerald, in the first forest whose name I can't quite remember at the moment, or it could have been a Machop I found in Leafgreen during a race I was having with my friend. I was doing a Venusaur only run, he was doing a Charizard only run, and I was grinding in Victory Road when I found a green Machop. I also won the race. It also could have been the Solrock I found in my Japanese Platinum that I found in Mt. Coronet. Those are the only contenders for first though.
Besides the usual Gyarados, I've found 3. First was an Unown on my Crystal, and then on the same Ruby cart I found a Golbat on Victory Road and a Duskull on Mt. Pyre. The Golbat went on to become a Crobat but I sadly lost him when someone saved over my game... The Duskull currently resides on one of my gen 4 games, sucks that Dusknoir's shiny sprite isn't as awesome looking as Duskull and Dusclops' red sprite... Other than that I've been hoping to find another all these years, haven't gotten around to getting B2/W2 shinies but am making progress on B2 to get a hold of the Shiny charm. Will hopefully have a Shiny Charizard one day though.
Pokemon Pearl FC: 2577-9647-8746 Pokemon SoulSilver FC: 0432 3090 2650
Never encountered a shiny outside of in-game events, while I have played all Pokemon games at least thrice. And my friend played his first Pokemon game, and after a while: 'Hey, why is this Machop a weird color?' ;_;
Official Jigglypuff of the Super Smash Bros. Wii U boards