This is one of the great questions kids like to ask. It is also a favourite of Richard Dawkins, this question being the main argument he raises against God in the God-delusion.
Usually it is a response to Christian arguments for the existence of God i.e. everything that exists has a cause except the uncaused first cause; for you cannot have an endless regression of causes.
If so, then God must have a cause. What can be said in response?
1. Because anything exists, something must be uncaused. I would argue that the existence of anything at all presupposes the existence of an uncaused cause. Otherwise we are left with an endless regression of causes. Certainly both options are philosophically ridiculous and outside our experience. However, when combined with all the other evidences I have outlined above for the existence of God, the idea of a first uncaused cause is the better of the two options.
2. We cannot know the cause of God. Having suggested that an uncaused cause is a better explanation for our existence than an endless regression of cause, the truth is that we simply do not know the origins of God. I believe that the best explanation for the universe is some sovereign omnipotent being. However, if God had an origin then the creator of ‘god’ becomes God and we fall into the endless regression of causes again. That being the case God ceases to be God and God is in fact the creator of the god we know! So we are left with God as God. The combination of evidences for the existence of an all powerful, all knowledgeable and everywhere present God is the best explanation for existence, history and experience.
3. Jesus shows us who God is. The best way to know God is not through the creation however, it is found by working outward from the miracle of Jesus. Jesus was beyond any human who has lived or ever will live. He rose from the dead, did innumerable miracles and taught an ethic and belief that transcends all other philosophies and creeds. He was a Jew and as such promoted the God of Judaism as the true God. The search for God is not then found in philosophical thought and answering such questions but in searching the Scriptures, understanding his/her character and will and then living it. It is better to leave such philosophical wonderings to mystery and walk in faith with God.
I conclude that the best option of available options is that God is the uncreated creator of all that exists. I accept that this is beyond our reason but conclude it is the only way of making sense of creation and history.