In the novelization of The Phantom Menace, Darth Bane is referred to as the first Sith Lord.
As the story goes, the Sith were origionally founded by one rogue Jedi who thought that the force's true power was in unabashed aggression and attack. He gained many supporters, but the Sith started feuding, eventually killing each other off with some help from the Jedi. Only one Sith who chose to hide in the shadows during the conflict was left. This Sith named himself Darth Bane and took one apprentice, starting the precedent that there may only be two: a master and an apprentice. Darth Bane also made the Sith known for stealth and elusiveness rather than open attack.