First Nephi 16:9-10, 16, 26-29
After gathering seeds and getting married, it was finally time to leave the valley of Lemuel. When Lehi is told to leave the valley, he wakes up to find "a round ball of curious workmanship". Interestingly, Nephi never actually calls it the Liahona in his writings, but it's name is later revealed by Alma in Alma 37:38.
Nephi says that this is an example of how "small means the Lord can bring about great things"
We can speculate where it came from, or who made it, but that's not it's most interesting aspect. Even if it was hand made by some wise man traveling from far, or delivered from the courts on high by an angel, the most interesting aspect is not it's physical qualities, or mode of arrival. Those are the "small means". The most interesting part is that it receives communications from God. The spindles aren't a traditional compass - they point the way this particular company should travel. In addition, God's words are physically written on the ball, and changed from time to time. Even our most sophisticated smart phones don't have that app.