I'm sure that people were being shocked by static electricity and electricity in general long before Benjamin Franklin and his key. I'm just wondering what people thought it was or how they rationalized its occurrence.
One of mankind's earliest encounters with static electricity was with amber. I know nothing of the scientific side of things, but rubbing amber with cloth gives it a static electrical charge, causing it to attract lightweight things like hairs. The Greeks and Romans knew about this, and in fact it is the origin of the word electricity: the Latin electrum (borrowed from Greek elektron) means "amber." Source. The Ancient Persians, meanwhile, knew it as kah-ruba, which means something like "straw-snatcher." Source
Pliny the Elder talks about this effect in his Natural History (37.12):
When a vivifying heat has been imparted to it by rubbing it between the fingers, amber will attract chaff, dried leaves, and thin bark, just in the same way that the magnet attracts iron.
We now know that it's not the heat that creates the static charge, but the friction. (Someone else can explain it better, I'm no physicist!)
But anyway, Pliny tells a number of stories that he has heard regarding the origin of amber, all of which he dismisses immediately, favoring the (correct) theory that amber is hardened tree sap. But this story in particular is interesting:
After Phaëthon had been struck by lightning, his sisters, they tell us, became changed into poplars, which every year shed their tears upon the banks of the Eridanus, a river known to us as the "Padus." To these tears was given the name of "electrum," from the circumstance that the Sun was usually called "elector."
Evidently, this myth was been created by the Greeks to explain the existence of amber. The facts that lightning is involved in the story and that amber has electrical properties could be connected, or the color of amber might be the connection. Who knows!
A scientific point about this question is that domestic sources of static would be rarer. There were no synthetic fibres, plastics etc. and metal door handles to shock yourself on were rarer.
Therefore I would not be surprised if the phenomenon was rarely witnessed except by those playing with amber & wool having read or heard about this trick. That last point is speculative, but confirmation requires a combination of scientific and historical expertise.