Which society first started to marry each other?

[styley]

As above.

[jno]

ancient Egyptians married (pharaohs might marry their sisters); I don't know if records go back further than that

[Mr Veritas]

The Summerians,Unfortunately they didn't understand that it had to be men and women,not men and men.
They waited ages for one to get pregnant!

[Lil O'lady]

Is that why they all died out?

Seriously tho' - legal marriage seems to become a feature of societies when individuals get enough property to pass on. So as 'civilisations' sprouted up the accumulation of wealth led to legal frameworks to protect and pass on wealth.
The ancient egyptian royal family intermarried to protect wealth but also because divinity was passed on through the women of the family - head woman was also 'great wife of Amun'.