Thinking back.. my first Shiny was in Pokémon Silver (not counting Shiny Gyarados..), it was a wild Onix. In Ruby it was an Electrike and in Sapphire it was a Clamperl. In Diamond I ran into a Shiny Gloom and SoulSilver it was a Tentacool. And lastly in Pokémon Black it was a Shiny Woobat.
Also some other Shiny firsts of mine..:
Sapphire- First soft reset Shiny, Rayquaza
Diamond- First Pokéradar chained Shiny, Buneary
Diamond- First RNG'd hatched Shiny, Magikarp
Diamond- First RNG'd Shiny Legendary, Giratina
Black- First ever hatched Shiny, Zorua