Anakin Skywalker had no father. This apparent virgin birth is a common element in many hero myths, and helped convince many Jedi that Anakin was the Chosen One of ancient prophecy. Anakin's true origins, however, may have been more sinister.
Created by the Force
In Episode I: The Phantom Menace, Shmi Skywalker tells Qui-Gon Jinn that Anakin had no father, and she "can't explain what happened." Qui-Gon theorized that Anakin was conceived by midi-chlorians -- microscopic organisms that help Jedi connect to the Force -- which would explain Anakin's unusually high midi-chlorian count.
Created by Sith Experiments
In Episode III: Revenge of the Sith, Palpatine tells Anakin about Darth Plagueis, a Sith who learned to manipulate the Force to create life. His tale implies that Darth Plagueis manipulated the midi-chlorians to create Anakin -- a belief more explicitly embraced by later Sith Lords.
Which View is Correct?
Qui-Gon's theory about Anakin's creation implies that the Force has a conscious will, and acts on its own to fulfill prophecy. The Sith theory of Anakin's creation is consistent with the Sith view of prophecy: that it is less of a prediction and more of a suggestion that one must act to fulfill.
On one hand, Anakin's high Force-potential, birth into slavery, and late Jedi training made him a good candidate for Sith manipulation, suggesting that Darth Plagueis did create him for that purpose. On the other hand, becoming a Sith put Anakin in the right position to fulfill the prophecy of the Chosen One from the Jedi perspective and destroy the Sith.
Both viewpoints have merit and are accepted by different characters in the Star Wars universe. It's even possible that both theories are true (from a certain point of view): that Darth Plagueis was only able to manipulate the midi-chlorians to create life -- a feat his apprentice was unable to replicate -- because of the Force's will to create Anakin.