It seems that the earliest public dunking was performed by Eddie Cantor in the 1931 movie "Palmy Days", although there is evidence that Ronald Colman dunked his doughnut in coffee is as early as 1928.
Prior to that, people would sink cakes in their coffee. These "sinkers" were the precursors of the dunkers. For confirmation, on 1 April 1888 the New York Herald (pg. 9, col. 6) stated: "Or they can get a cup of coffee and some cakes for ten cents. The facetious patrons of the restaurant call these cakes "sinkers," because if they were thrown overboard they wouldn't float."
Actually, dunking -or sinking- solids in liquids, such as bread in broth or crackers in gravy, etc. is something that has been done for centuries (really?), but dunking in coffee is a more modern custom.
My grandfather told me that in the Middle East, back in the 1910s, it was customary to mix honey and sesame seeds then dunk bread in it.
As with all human eating habits, several questions are raised.
Is it polite -or elegant- to dunk?
When should you dunk, and when not? And where?
What can be dunked and into what?
As to the politeness, I'm pretty sure that there are some stiffs who would rather not see you dunking, but I believe that dunking is a good eating habit, so I'd do it whenever and wherever I feel like it.
Now, in respect to what to dunk into what, there are several suggestions, some even made by gourmet experts. The "dunkers" can be almost any food in liquid form, such as wine, coffee, tea, soup or broth, chocolate and cold milk. Some liquids are ruled out completely: beer, booze, sodas and cough syrup. The "dunkees" are almost any type of dough-based foodstuff like cookies, crackers, doughnuts, biscuits and maybe even muffins, although these are too crumby for dunking.
Here's a list provided by thekitchn.com:
Cocoa and Toast (of course!)
Milk and Cookies
Coffee and Biscotti
Coffee and Doughnuts
Tea and Biscuits (the hard "digestive" kind)
Wine and Taralli (hard Italian biscuit-cookies)
Vin Santo and Biscotti
Another point not sufficiently stressed is heat. Beware of dunking custardy stuff into hot liquids because the sugar tends to get too hot and cause burns. For evidence on this risky issue read: http://tinyurl.com/lj2ba8. The Telegraph publishes a survey about "biscuit related injuries" which tells the cases of many Britons being burned at dunking.
My favorites are biscotti, oreos (separated and the custard removed, as it is official) and baguette into coffee or chocolate.
Post so we can see who dunks what into what.