Who made the first magnet?

No one. The first magnets were chunks of the mineral magnetite or Fe3O4.

Lodestones, which were used to make the first compasses, were made of magnetite.

The Greeks get the credit for naming magnets. There are a couple attractive stories about the Greek discovery of magnets. One says that a shepherd by the name of Magnes got the nail of his sandals and the metal tip of his staff stuck in the ground when pasturing his flock over a field of magnetite. Another story says the name comes from a Greek province in Turkey called Magnesia. Magnetite was mined in Magnesia as early as 800 BC.