Bidoof in Platinum (Very first Shiny I ever saw. I was in Eterna Forest, though, so naturally Cheryl and her stupid Chansey killed it. >.<)
Wingull in Platinum (I, uh.. Accidentally killed it. I'm still kicking myself over it despite it happening back in early 2010. *Sighs*)
Nidoran-F in HeartGold (Found while looking for a Growlithe. First Shiny I ever caught. She's now a gorgeous Nidoqueen <3)
A Starly, about 5 Shinx and maybe.. 4-5 Ralts in Platinum due to Chaining.
Rufflet in Black (My first attempt to hatch a Shiny. Took over 400 eggs, but it was so, so very worth it. <3)
Tropius in Black (Completely random encounter. Scared me half to death when it showed up.)
Gastly in Black (Hatched only a week ago. Completely random, too! I've always wanted a Shiny Gastly, so I was absolutely over the moon getting him. <3)
Preeetty sure that's it for any I actually encountered myself. I wish I had better luck with Shinies, especially chaining. My best friend has amazingly stupid luck with the PokeRadar.