The phrase first appears in print in 1981 discussing the murder sprees of John Wayne Gacy and Ted Bundy. It probably was used informally by police and journalists since the mid-1960's.
Who you choose as the first recorded serial killer in history depends on how you want to define the phrase. Some suggest Caligula, whose love of torture and killing goes beyond the general blood lust common for political figures of that time. But, emperors and kings have always killed people, its in the job description.
A better choice is Gilles de Rais. A French knight during the 15th century he fought alongside Joan of Arc during the Hundred Years War. He also had a penchant for kidnapping, raping, and killing children. Over an eight year period he killed between 80 and 200 children.
Jack the Ripper is generally regarded as the first modern serial killer.