The standard story is that they are made of walrus ivory sent from Greenland to the archbishop of Trondheim in Norway as part of the Christian Greenlanders' tithe. The chessmen were carved in twelfth-century Trondheim, then sent by merchant ship to Dublin, Ireland to be sold. The ship wrecked on the way, and the chessmen washed ashore on Lewis, where they were found when a cow fell into a hole.
Where did they come from?
What's true about this story is that they are made of walrus tusk (except four made of whale's tooth) and that they were found on Lewis sometime before 1831. Everything else is speculation.