Saddest thing to ever happen with a shiny encounter: (this didn't happen to me, by the way, but I saw it happen to my brother).

In Diamond, he was in some cave while traveling with someone (so all the wild Pokemon encounters were double battles). He encountered a shiny machoke. But, in a double battle, you can't throw a Pokeball until there's only one Pokemon left. So my brother knocked out the non-shiny Pokemon in one hit on the first turn. The AI knocked out the shiny. :P

There was much screaming from the both of us.