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Not counting the Shiny Gyarados at Lake Rage because it doesn't count, the first shiny I ever cought was an Electrike on Hoenn Route 110 in Sapphire...
Here's the thing though I was playing on a friends copy while I had Emerald at home, so I couldn't even transfer it if I wanted too. Still kind of pisses me off to this day that I never got to use it and haven't found another legit shiny since then.