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But, really, even this was just a new way of doing what had been done before, even by singled celled eukaryotes. At least I think it's the case (although I'm no expert) that some protists create haploid cells which are sexually "typed" in some fashion that they can only fuse with opposite types. In practice the same as eggs and sperm, although it's a different mechanism.

The other day, I was using E. coli for an experiment, and I was explaining to my research colleague (a gynecologist) that the cells we were using are male. Male bacteria make "sex pili" which they use to puncture the female bacteria and insert DNA. If the inserted DNA contains all the genes for the sex pili, the donor becomes female and the recipient becomes male. Yeast are not classified as male or female, but as "alpha" and "A" mating types. They mate by fusing into diploid cells, although S. cerevisiae (bread/beer and also lab yeast) seem to have a preference for the haploid state.

To make a long story short, sexual reproduction seems to have been around pre-multicellular organisms.