The first arch

There's a conspiracy theory that aliens taught humans to build pyramids, but I find that unlikely, 

because making a big pile of rocks that's narrower at the top than at the bottom seems super intuitive to me.

But something that humans have built since before recorded history that's much less intuitive is the arch.

It is well known that an arch is the strongest structure, but making one seems like it would be particularly difficult - you'd have to take straight things and shape them somehow into a consistent, load-bearing curve! It seems like that would take a lot of extra work and a lot of expertise that wouldn't necessarily exist if no one had ever done it before.

Added to that, it doesn't seem to me like it would be intuitive that arches would be strong, especially if no one has seen one before. I can't think of any examples of load-bearing arches that occur in nature. I've seen some of those things where water ran under a rock and then receded, but they've always looked to me like they might fall down any second, not that they're an architectural tool that should be emulated.

So who first thought of the idea of building an arch? How did they figure out how to do it? And did they think it would be strong and therefore build it, or did they build it just for fun/art/bragging rights? If they didn't realize at the outset that it would be strong, how did they figure out that it is strong?

(Might there be some other, stronger shape out there that hasn't occurred to us yet?)