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Red Gyarados aside, my first shiny was Graveler in SoulSilvers victory road.
Naturally I panicked, thinking it's gonna explode and masterballed the fucker. I jumped in celebration, dropping my DS, ejecting the game card. I dont think I ever raged that hard.
My first shiny that I actually got to keep was only a few months ago, while grinding a newly bred Charmander I think I chanced upon a shiny Drifblim. Feels good walking around with a golden balloon.
And actually, I caught my 2nd/3rd shiny only today. I felt like doing a nuzlocke run on SoulSilver and found a shiny Weedle.