The oldest print source Google seems to know about is from Drummer Girl by L. E. Blair (Girl Talk series, vol. 12), published in 1994. There, the following quote appears:
"But you're a girl," the guy said in surprise. This guy was getting on my nerves. "You are Captain Obvious, aren't you?" I shot back.
The phrase doesn't seem to pick up steam in print until around 2000. However, I can find a few older references on USENET. This is from a 1992 post by alt.thrash user "Spiral Death Trap":
Loosen up! If you can't deal with others' sexuality, YOU have the
problem, not them. (Rape excepted – Captain Obvious)
and in 1993, David Kosak, now apparently lead quest designer for World of Warcraft, posted "The Adventures of.... CAPTAIN OBVIOUS" on alt.shrinky.dinks. Here's an excerpt:
The police stormed into the room. Several uniformed officers were
present, as well as a man in a grey trenchcoat with a matching
weather-beaten fedora. The trench-coated one surveyed the scene.
"The door alarm has been deactivated, the safe was discovered and
removed from it's original location..." He noted.
"Someone has tried to rob this bank!" Captain Obvious stated
helpfully to the man in the fedora.
The man surveyed The Captain. He wore a yellow body-suit with a
giant red emblem on his chest that stated CAPTAIN OBVIOUS in red sequined letters.
"My name is ... CAPTAIN OBVIOUS!!!" shouted the hero.