Good question...

http://www.bbc.co.uk/science/horizon/2001/iceman.shtml

Was Otzi in a battle, or did he fool around with the farmer's daughter, or was he shot because he belonged to the wrong tribe? Who knows... 5300 years have passed, all we know is that someone wanted to kill him, and he felt that he had to climb a tall mountain in Autumn to escape...

Then there is an older example; Kenniwick man: http://www.mnh.si.edu/arctic/html/kennewick_man.html

The skeleton is nearly complete, missing only the sternum and a few small bones of hands and feet. All teeth were present at the time of death. This was a male of late middle age (40-55 years), and tall (170 to 176 cm ), slender build. He had suffered numerous injuries, the most severe of which were compound fractures of at least 6 ribs and apparent damage to his left shoulder musculature, atrophy of the left humerus due to the muscle damage, and the healing projectile wound in his right pelvis.

Again it looks like someone wanted him dead... maybe it was accidental- again who knows...

We will never be certain if his wound was by accident or intent, what language he spoke, or his religious beliefs. We cannot know if he is truly anyone's ancestor. Given the millennia since he lived, he may be sire to none or all of us.

There is cave are depicting battles:

Nomadic character of cattle-breeding led to conflicts. Image of armed riders, battle scenes got especial popularity in this period.

About 201 year B.C. tribe tagarsk unions were defeated by martial Hun tribes. Part of Hun stayed in the Yenisei valley. Interlacement of different cultures gave birth to new subjects and styles in cave paintings. "Beast" style was gradually forced out by images of battle rider-nomad. Horse cult developed. Tradition to work up details of harness in petroglyphs was connected with this cult. Battle ideology defined themes in cave art for a long time.
From: http://www.priroda.net/schoolclub/rock.html

of course 201 bc is fairly recent...

A GREAT essay on the topic can be found at: http://history.eserver.org/neolithic-war.txt
Perhaps the main difference between prehistoric and historic war is
that in many cases prehistoric populations did not share a common frontier.
There was a no man's land between settlements, and most military
confrontations at least began there. Certainly that was true of most
Paleolithic conflicts. In the Neolithic with the development of
fortifications it became more common to wage war directly on one's own or
enemy territory.

....
There is no evidence for the practice of war before the late
Paleolithic Age (35,000 to 12,000 BC). A few weapons are known to have been
used much earlier. Stones and clubs, man-made pebble choppers, and the
spear were available hundreds of thousands of years ago, perhaps millions.
They were definitely used in hunting game and probably in attacks by man
on man, but there is no clear evidence. The famous Paleolithic cave
paintings of France and Spain, dating from the period of 30,000 to 20,000
years ago, show no certain scenes of man killed by man. Mainly they depict
animals, several thousand of them. Only about 130 of the figures have been
identified as possibly men, and many of them are dubious, simply as men.
Even so, the vast majority of the 130 are shown in peaceful scenes. A tiny
number appear to be pictures of men dying from wounds inflicted by spears
or arrows, but they are so badly drawn that not a single one can be
certainly identified as a wounded or dead man.


War, even 30,000 years ago, required co-ordination and expenditure of lives and resources... perhaps, when every day is a struggle for survival, war is just to costly... in short, odd as it may seem, perhaps war is a 'luxury' item...