I've never caught a shiny, but I have encountered them. In platinum (my first game) I didn't know about shinies and thought it was a glitch, that poor zubat. Gen 5 I got a critical hit and OHKO'd it (no shiny duosion for me) and now in X where I encountered a horde of geodudes and one was shiny, but they all used magnitude and the geodude died.
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My first was a Zigzagoon in Ruby. At the time, I didn't even know what a shiny was. I just saw the shiny animation and caught it to make sure my eyes weren't playing tricks on me. Almost KO'd it too. I just keep it and don't do anything with it, really.