Though personally I was confused whether the book was first or the play it was actually the play that came first-in 1904. The novel came along in 1911. Of course most people know it as a pantomime, rather than a straight play or novel.
Peter Pan in Kensington Gardens, the play version can sell for about £1000 for first edition.
However the character of Peter Pan first appeared in the Little White Bird (1902). In this story he is described just as a baby.
Peter Pan in Scarlet was an official sequel published in 2004 by Geraldine McCaughrean.
Peter and the Starcatchers was a prequel written by Dave Berry and Ridley Pearson. It was published in 2004. There are currently two sequels (which are still prequels to Peter Pan), Peter and the Shadow Thieves (2006) and Peter and the Secret of Rundoon (2007)
There are also plans for Neverland chapter books.