I will only consider the 26 letters used in
most Western languages today.
Most letters took their form and value from the Roman alphabet. The
Romans borrowed their writing system from the Etruscan alphabet,
which was derivated from an archaic Greek alphabet (Euboean variant). The
Greeks built their alphabet from the Phoenician alphabet, as explained by
Herodotus in The Histories, and maybe from other Semitic writing
systems as well. These scripts probably have Egyptian origins. Unless
specified otherwise, all the letters used today followed that path.
Also note that the Antiquity used capital letters only. Apparently,
small letters first appeared in the Carolingian script around the end
of 8th century.
A
A was probably the first letter in the Phoenician alphabet, but it
represented a consonant since the Phoenician alphabet had no vowel. The
Greeks used it for the same sound as most modern languages, i.e the a in
fat.
The C family
The Greek letter gamma produced the Latin C, which sounded either like
k or like g in go (Cnaeus and Gnaeus are the
same name). The letter G was created in Latin approximately in the 3rd
century BC by Spurius Carvilius Ruga, as a modified form of C. Then C
was used for the sound k only, and the letter K disappeared
almost entirely.
F
The Latin F comes from the old Greek digamma, which probably sounded
like the English consonant w in Etruscan, while the English sound f was represented by the combination FH. Later the H disappeared and F acquired its modern pronunciation (thanks JudyT).
H
H denoted aspiration before an initial vowel in Greek (spiritus
asper), as in the English horn. Later it represented the vowel
eta.
The I family
I was used both as a semi-vowel (as y in yet) and as a
vowel (short i in pit or long e in mete).
J was a variant of I in Latin.
Q
Although that letter comes from Phoenician, it was not used in
Anglo-Saxon, where the corresponding sound was represented with
cw.
The Upsilon family
No less than four letters belong to this family.
In Latin, U and V were the same letter. U was the cursive form,
while V was more easy to grave on stones. It was used both as a consonant,
similar to the English w, and as a vowel. The letter came from the Greek
Upsilon. Upsilon may have the same origin as digamma, or the Greeks may
have created it themselves.
Y already existed in Latin, but it also originates from the Greek
Upsilon.
And W was derived from V in the Middle Ages to represent the sound
of w in wine.
X
The Latin X came from Chi, a letter invented by the Greeks who used
it to represent the sound ks in the Western part of the
country.
To see how the letters evolved from the Phoenician script to our modern alphabet, see http://phoenicia.org/imgs/evolchar.gif