It is difficult to say, considering that the Sith were a species of Force-sensitive individuals long before they became the archenemies of the Jedi. Naga Sadow was the first Sith to wage war against the Republic, but the first Sith Empire was formed in 6,900 BBY by a group of exiled Jedi, nearly two millennia before Naga Sadow rose to power. Ajunta Pall was the leader of these Exiles, so it is reasonable to say that he was the first true Sith Lord.