You can find shinies in Colosseum? I never knew that.
Anyways my first shiny info:
First seen: Graveler (Didn't know it was shiny. Long story short, I thought the sparkles were normal in Crystal)
First owned: Machoke/Machamp (Cousin traded it to me)
First caught: Meditite (Found it in Platinum)
Later found a few more. Every shiny I have ever owned now do not exist due to my stupidity of erasing the game they were all on.
I didn't realise it was shiny until after I'd purified it (one of the ones that doesn't look very different). It had two yellow orbs spinning around it, that's what tipped me off.