According to the Oakland Aviation Museum the first known was a simulator to learn to fly the Antoinette monoplane, although they don't provide any references for this, so I can't say that is entirely true.
The link trainer is the best known trainer and they were built in 1927 by Edwin Albert Link. They were used to train Army Air Corp pilots for instrument training in all weather conditions. The link trainer continued to be the sought after training device in WWII as well training almost all US Air Force Pilots.Link
If I find more information I will update my answer as best as possible.
I know typically answers on Wikipedia aren't the best but this one is littered with references that would take entirely to long to search out for ones self.