I'm curious to know if there is any canon on where the Sith and Jedi came to be in the Star Wars universe. We know the names and histories of some of the old Sith and Jedi, but where did the first Jedi and Sith come from and how did they come to be?
The Je'daii Order was formed by colonists on the planet Tython 36,453 years before the Battle of Yavin. Tython has unique properties which allowed these colonists to master the use of the Force. The original Je'daii Order did not differentiate between the use of both 'Light' and 'Dark' Sides of the Force, but believed in the Balance of the Force; in other words, that a Je'daii needed to understand both the Dark and the Light, and use both accordingly.
Eventually, some members of the Order came to see the Dark Side as a path to power, causing a schism. These Dark Je'daii were defeated and exiled, with some eventually fleeing Known Space and heading to the Unknown Regions, where, as Sebastian_H mentions, they found the species known as the Sith. This species was extremely Force-sensitive and capable of providing many recruits to the Dark Jedi's cause, and so the Dark Jedi eventually came to call themselves Sith, after the people they established their rule over. Eventually, the philosophy of the Bogan - or Dark Side - came to be dominated by the ideology of the Sith, though there are plenty of Fallen Jedi who used the Dark Side without themselves being Sith; C'Baoth is an example of this.
After the exile of the Dark Je'daii, several Light Je'daii also left Tython, eventually establishing what came to be known as the Jedi Order. Tython itself eventually lost its central importance as both Light and Dark Jedi learnt to utilise the Force outside of its gravitational field, something that took a great deal of time to learn.
The original Sith were a race of red skinned, Dark Side force user that even worshiped the Dark Side (if I remember correctly).
After their home world was discovered, they came into contact with a group of Dark Jedi that had split from the order. This group subdued and eventually intermingled with the Sith, basically forming a new culture. This eventually led to the formation of the Sith Empire and ultimately to the Sith Cult and the Sith as most people know them (from the movies and such).
The Sith have a rather long history and what they are has changed over time. Originally the name applied to a single race, then to an entire empire and eventually to those that still adhere to the Sith way and ideas. So technically the first Sith (like they're known from the movies) would be the Dark Jedi that intermingled with the original Sith race.
I left out a lot of detail but can read that for yourself in canon. I can't provide any details on the forming of the Jedi Order however. Though I believe that the Order is older than the Sith. It's also important to understand that not all Dark Jedi are Sith - or put differently, there were Dark Jedi / Dark Side force users before the Sith.