The majority of historians believe that chess is the oldest game of skill in existence. There are written records of chess being played all the way back in the 6th century in what is now modern Afghanistan and India. This was the Persian Empire, and so the oldest chess sets and boards were Persian-made pieces used in the game they termed "chaturanga." Unfortunately, no known pieces from the first few centuries of Persian chess sets remain in existence. Maybe someday an archeological dig will be fortunate enough to discover a few pieces, or maybe even a whole set, of this early version of chess.
The Persian Empire was enormous, and it was famous for being one of the most prolific trading empires. There was no corner of the empire that these traders did not reach, and they brought chess with them. The early version of chess quickly spread throughout the empire. These early chess pieces were made from many different materials throughout the Persian Empire, depending on the means of their owners.
Very cheap chess sets and boards were made from bone in the early days of the game. More extravagant pieces were often carved from hardwoods such as ebony and rosewood. The very finest early chess sets were carved from ivory, which was favored by craftsman for its ease of carving and ability to polish to a fine shine.
Luckily, examples of some of these early ivory chessmen still survive today. Pieces were discovered in modern-day Uzbekistan, and they are in very good condition. Seven pieces were discovered in all, two pawns, an elephant, a horse, a vizier, a chariot and a king.
The next-oldest chess set in the world was found in India, and it has been radiocarbon dated to around 900 AD. These pieces were the older style chessmen that were found in the Persian Empire's version of chess.
More modern, European chess sets that players are familiar with today date from not too long after this. The earliest example of these European chess pieces were preserved in a monastery in Ager, Spain. These Ager pieces date from 1021. They are made from rock crystal that has not survived the ravages of time very well, and only a few of the pieces are in good enough condition to determine their use. The legend told by the monks that preserved the pieces over the years is that the set was originally carved for Charlemagne.
The oldest chess pieces that can be combined together to form a full set date back to the 12th century. These pieces, known as the Lewis Pieces, contain 96 individual pieces that came from four separate sets. They were made in Norway out of ivory formed from walrus tusk and whale teeth. They are in phenomenal condition, and look as if they would be fine to use in a game today if they weren't under glass in the British Museum.
European-style chess sets all had the same pieces, but there were many different competing designs for specific pieces. This led to conflicts in matches, when players would refuse to play each other due to the unrecognizability of certain pieces. A standard design for competition chess sets, called the Staunton, was constructed in 1849 by Nathaniel Cook. It is still the design used in chess competitions around the world today.