When the Pilgrims came to Plymouth they were inadequately prepared for the winters there. The indians lent them blankets (wool or skin - don't know) to use. Once the Pilgrims had established themselves and were weaving, hunting, and making their own blankets, the Indians took their blankets back as they were no longer needed. The pilgrims, who had considered the blankets a gift, were offended. Therefore, an Indian giver is a derogatory term applied to someone who has given a gift and wants it back.

"It is unclear exactly how this expression came to be, but the general consensus is that it is based on Native Americans having a distinctly different sense of property ownership as opposed to those of European ancestry. One theory holds that early European settlers in North America misinterpreted aid and goods they received from Native Americans as "gifts," when in fact they were intended to be offered in trade, as many tribes operated economically by some form of barter system.[3] It is also theorized that this stereotype may have been coined or exaggerated by the conquering European groups to denigrate the native people as dishonest and thereby justify their conquest.[3]

Others, such as some members of the Choctaw tribe in Mississippi, believe that the term is derived from the fact that white settlers frequently made treaties or other deals with Native Americans and then reneged on them."

from http://en.wikipedia.org/wiki/Indian_giving