There are some gods who just appeared one day, fully formed, with not a parent in sight. Amun is one of these guys. He's not the only one, though. The members of this group tend to be pretty high up on the social food chain. Maybe being your own parent makes you extra mature? Either way, usually being self-created gives you the superpowers to create other things—like the world.
The Ancient Egyptians had a surprising number of self-created beings. Atum was one of them. He's also a sun god, and legend has it that he will be the god to survive after the world is destroyed.
One of the three primary Hindu gods, Brahmā also appeared on the scene without the help of parents. He's also a god of creation. It makes sense—If you can create yourself out of nothing, you'll probably be good at creating other stuff, too.