In 1609 a fleet of nine ships set out from England to shore up John Smith's Virginia colony, the first English settlement in the new world. As most people already know from their high-school propaganda, Smith was condemned to death by Powhatan, but was saved at the last minute when his 13-year-old daughter Pocahontas interceded on Smith's behalf. The British returned the favor a couple of years later by burning down Indian villages and attempting to enslave them.
One of the nine ships was separated during a violent storm and ended up on Bermuda. Pamphlets were published that gave a highly imaginative account of the shipwrecked crew's experiences. Evidently Shakespeare got the idea for his play from this background material since The Tempest is a tale about shipwrecked Europeans colonizing an American island and enslaving the native population.
The other important influence on the play was Montaigne's Of Cannibals, an essay that argues that American Indians lived a naturally virtuous life uncorrupted by civilization.
'Caliban' is also an anagram of "can[n]ibal" - hence Montaigne, yes.
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