Fauns are generally considered to originate in Roman mythology, though the first such creature described was Pan, a Greek god. Pan was believed to inhabit mountains and rural areas, and was revered by shepherds and hunters alike. The Romans called Pan "Faunus" and believed him to be one of a race of woodland creatures.
In English mythology, a trickster spirit named Puck or Robin Goodfellow is often described as a faun in appearance. Puck is also a character in Shakespeare's A Midsummer Night's Dream. The complete play can be found here.