I remember this vividly.
I was trying (and failing) to catch a wild Manectric. Ran after a while. A few minutes later, Pokemon appeared. A Zigzagoon. I wasn't paying much attention, until I heard that "da da ding!" noise. I looked at my GBA immediately. Perhaps it was a trick of the light, but the Zigzagoon looked reddish. i didn't know whether or not it really was a shiny, so I decided to catch it for good measure.
And there were NO POKEBALLS LEFT IN MY BAG! I had used them ALL trying and failing to catch the #@&!*@$ Manectric!
Later on, I saw a shiny Crawdaunt. I had a ton of Ultra Balls on me. Now, if only it hadn't been in the FREAKIN' BATTLE TOWER!
Crystal version. I'm going after Entei. I decide to hang some Pokemon posters in my room. While I'm doing this, I ask my brother to try to find Entei. I told him to wait for the strange battle music. It'll be at level 40. 2 minutes later, I hear the noise you hear in GSC when a Master Ball is used. I look at what my brother's doing. Wooper. It was a WOOPER. He WASTED MY LAST MASTER BALL ON A WOOPER! I snatched my GBA back from him and shut it off.
I mean, if the Wooper had been shiny, that would've been different.
Speaking of shinies. Gold version. I'm cutting through the grass to get to Goldenrod City quicker. And I find a shiny Ditto. I have it transform into my Hoothoot and begin weakening it. In the beginning of the game, I never have much luck trying to catch Ditto. I'm sorry to say this was no exception. After my last Pokeball was broken out of, Ditto KOed itself with Struggle.