Well, if we're talking x86 products, the first wasn't AMD or Intel, it was actually Cyrix back with the MediaGX in 1997.
But yeah, Intel had the first iGPU with Clarkdale, albeit in a very clumsy, hack-job form; Sandy Bridge was the first one to have it properly integrated.
If you want to count integrated as on-die, it's essentially a tie. The E-350 came out a few days before Sandy Bridge launched in January 2011, so I guess technically AMD launched on-die graphics first. If you count Zecate as a real CPU.
