My first shiny was a random encounter machoke (he is green) in Platinum. My first chained shiny was a farfe'tch (pink) in Platinum. Then I chained a bunch of slakoths in Platinum.
My first shiny Pokemon was a beautifly on emerald(I did not know what a shiny pokemon was,but I saw the stars coming out of it an though it was special).
My first shiny was a light blue Poliwhirl in Fire Red which is now a level 100 dark green Poliwrath on Diamond. That was quickly followed by a gold Magikarp on Fire Red which is now a level 100 red Gyarados. I'm going to keep it on my Fire Red game so I can prove it wasn't the red Gyarados that everybody can catch on Gold/Silver and Heartgold/Soulsilver. I also caught a shiny Zubat (Crobat now) and chained a shiny Cubone.
I guess I've been pretty lucky to find so many shiny Pokemon.
OTHER than the not-so-rare- Red Gyarados, my first one was a meditite on that one Sinnoh mountian...sadly I forgot to transfer it to black and white before getting rid of the game, but I got a shiny Umbreon after that so yay
I first got the red gyarados in pokémon gold, but that doesn't really count. My first and only shiny that iv'e met and caught is a basculin in Wellspring cave in pokémon white.
My first shiny was strangely a shiny Machoke, found on my platinum version. I say strangely, because someone who posted earlier had the exact same thing happen.