I haven't found many shinies, but I do remember that I used to have a Shiny Tentacool (which is now lost), a shiny Ratatta I think, and a Shiny Spearow. I think there was an event Shiny Pichu (the one that triggers an event at the Celebi Shrine in HG/SS, where the "Pichu Brothers" from the first Johto Movie made a reference, can't remember if that one was Shiny or not), but that doesn't count since it was guarunteed.
I remember once trying to get Shinies of all the Regi's in Emerald, but eventually I just gave up on it and caught them as normal.
EDIT: Now that I think about it, I vaguely remember once having a shiny Noctowl in Pokemon Silver I think. Not entirely sure, though.