The first one I remember aside from scripted Gyarados was a Loudred in Sapphire. Never really used it cuz it's a boring shiny on a pokeyman I don't care about.
I can't remember if I ever caught a random shiny in Gold or Crystal. I do know that in HeartGold, I caught two shiny Magikarp, which is cool, but also pretty useless since they just evolve into the shiny that everyone got from that same game. >_<