The answer to your question may lie in the way that hair-type genes are inherited.
First, a review of some basic genetics stuff. For most genes, you have two copies of each gene that you inherited from your mother and father. For most "traditional" genes, there is a dominant and recessive version. This all has to do with gene expression and phenotype, or what you actually end up looking like. If at least one dominant version of the gene is present, it will be expressed regardless of what the other is. The only way the recessive version will be expressed is if the dominant version isn't present. This holds true for some simple traits like whether earlobes are attached or not, where the free earlobe allele is dominant (noted as "E") and the attached (noted as "e")allele is recessive. So if at least one of your parents had free earlobes (Ee or EE), you'll have free earlobes. EDIT: if both you're parent have free ear lobes you can still get attached ear lobes in the case that there heterozygous dominate. because if both parent are Ee then you have 1/4 chance of getting ee.
So why don't you see your hair-type in your parents or grandparents? Well, hair-type doesn't follow the nice and simple pattern of inheritance. Hair-type follows a type of inheritance pattern known as "incomplete dominance". Like the earlobe gene, there are two versions of the hair-type gene, curly (noted as C) and straight (noted as s). The incomplete dominance refers to the fact that if you have one of each version of the gene, you get a mix of the two or, in this case, wavy hair. So for hair type, CC gives curly, Cs gives wavy and ss gives straight hair.
Without a better family history, all I can tell you is that it is possible that the curly version of the gene was carried by both of you parents as "Cs," or wavy-type. The same could also be true of your parents parents, but beyond that it gets really unlikely that "none of your ancestors" had curly-type hair. Of course, it's also possible that your curly hair might actually be wavy, or wavy-type. Outside the world of genes, wavy and curly are really just in the eye of the beholder.
While some regard curly hair on the head as a "mutation" and straight hair as the "norm" a deeper look might suggest that the opposite is the truth.
Humans are believed to have originated in Africa, and to have spread from there to the rest of the world. If one looks at a typical African native one will see a person with tightly curled black hair, in a typical "Afro" style (if left to grow naturally).
It is suggested this type of hair, black, tightly curled, and "bouffant" is a result of natural selection, which is due to at least 3 reasons, though the weight given to each reason is open to argument.
1. Black hair is good at absorbing Ultra-violet, thus helping to prevent skin cancer on the scalp.
2. The tight almost "brillo pad" effect is good at keeping sun light off the head, to prevent overheating.
3. The natural "weave" of the hair is open, allowing air to circulate, aiding cooling.
It is then further suggested that as these "proto-humans" left Africa and colonized the rest of the world the above 3 reasons to have black, tightly curled hair actually became a disadvantage.
1. The UV levels fell, as did the average temperature. Clothing was worn to keep warm. Humans need UV exposure to produce Vitamin-D. Those with a less protective hair type were better able to produce vitamin-D. There are also theories (unproven) that blond straight hair hanging down is favored in cold countries at it has a "fiber optic" effect, catching sun-light reflected off the snow, and feeding it to the scalp.
2. The "heating" effect of the sun was reduced, less need for "solar insulation."
3. The colder climate favored a hair type that insulated the head from the cold, rather than allowed active cooling, as most heat is lost from the head.
Hence, having straight hair is actually the "mutation," and having curly hair is normal, so at some point ALL of your ancestors had curly hair, afro Style.