Lutes i believe?

Didn't Nero play one as Rome was burning or is that a myth?

I would say NOT. The first violins were perfected in the mid 16th century only. That would hardly qualify it to be called an ancient musical instrument. . ' Although its precise origins are not completely understood, it is probable that the violin (and its larger siblings the viola and violoncello) evolved during the mid-16th century in Northern Italy. In addition to perhaps being the maker of the first true violins, Andrea Amati (ca. 1500-1577) was the patriarch of the Cremona school of violin making. During the next 150 years, other members of the Amati family and their followers, who included Antonio Stradivari (1644-1737) and Bartolomeo Giuseppe Guarneri (1698-1744), brought the violin to its highest level of perfection both as a musical instrument and as a work of art. During the 17th century, violin making spread to all of the other countries of Europe and, in the 18th and 19th centuries, to the rest of the world. Although violins have been and are being turned out in large numbers by factories in Europe and Asia, most fine violins are handmade by individual craftsmen using essentially the same methods employed by classical Italian makers several hundred years ago. '. . http://www.answers.com/main/ntquery?s=violins&gwp=13

Not as we know them today. There were bowwd string instruments that made their way from Asia minor but they were not even close to the modern violin.

It was most likely that Nero, and the ancient Romans played the Lyra, or Byzantine Lyre. The Instrument had a pear shaped body and three strings, the bow was strung with horse hair, much like modern violins. The instrument is a member of the Zither family, which aslo gives us the guitar, zither, and many other instruments. It is descended of an ancient persian instrument called a Rebab, or spiked fiddle, noted for its distinctive spike at its base for use of playing upright much like modern Cellos. The Byzantine Lyre's popularity spread across europe to the northern parts of Italy inspiring the design of the Lira da Braccio, a stringed predecessor of the violin crafted in Italy in the 1400's.