I have had no shiny fails on R/S/E, but two on FireRed.
The first was when I was running through the Safari Zone in search of a Scyther. I kept finding Nidoran after Nidoran, and was thinking: When am I ever going to find this Scyther? Next encounter- I look at the darkened sprite of the Nidoran(M), and realised it was blue. So, of course, I throw a Safari Ball. It immediately breaks out, and flees. I was disappointed then, but I already had a perfectly good Nidoking in my party, so I wasn't too bummed.
Of course, next fail was epic. This time, I was outside of the Pokemon League, training up my team. I was working on training my level 52 Pidgeot this time, having already trainied my Charizard to level 55. I was thinking about how nice it would be to run into a shiny Fearow as, though I thought it looked awful at first, it had grown on me. Ironically enough, the next encounter was the shiny Fearow. Panicking, I decided to use the weakest move in my arsenal: Quick Attack. Of course, with my luck, the attack was a critical hit, and it fainted.
Worst thing of all? I HAD A MASTER BALL!!!!!!! That really was a painful day...
Now, though, I'm using the RE method to try and get them back.