Olórin was the last to arrive on Middle-earth, and thus found many details the people of that land would have to decide about his order already settled. Most, the Maia could agree with. But to call themselves 'Wizards'?

The Quenya, 'Istari', wasn't bad, nor the Sindarin 'Ithryn'. But to translate it into Westron as 'Wizard'… Or in Adûnaic, 'Zigûr'….

Olórin snorted with sudden bitter laughter. Perhaps it was appropriate after all, then. So be it. Let all six of them be Wizards, and let that name be an acknowledgement of their kinship with the one they came to defeat.

Yup, Sauron was the first Wizard. I've always found it rather amusing.

(For those who don't remember the Akallabêth all that well, Zigûr is what Sauron went by in Númenor.)