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Shiny female Magikarp in Gold when fishing with old rod.
I was young and retarded and ran away from it as i wanted a male one.
My second one was a shiny Girafarig female that i caught, as i learned after the shiny Gyarados thing in middle of lake it was rare shit. However, was lost due to save got overwritten by sibling.
My latest loss of shiny was on X and Y launch day where i found a female pink clothed Honedge, keep in mind i saw it directly after my first encounter with a male normal blue one, so naturally thought it just used different color on the cloth depending on gender, so just killed it for exp.
Boy did i feel retarded when i realized what i just killed after seeing another female Honedge.