Who put the bomp in the bomp bah bomp bah bomp? Who put the -stan in Afghanistan? I don’t know about the former, but we can thank the Proto-Indo-Europeans for the latter. These folks spoke the Proto-Indo-European language (PIE), a prehistoric Eurasian language that linguists have reconstructed.

The PIE root, st?–, or “stand,” found its way into many words in the language’s various descendants. The Russian -stan means “settlement,” and other Slavic languages use it to mean “apartment” or “state.” In English, the root was borrowed to make “stand,” “state,” “stay” and other words. The ancient Indo-Iranian peoples — descendants of Proto-Indo-Europeans who moved east and south from the Eurasian steppe – used it to mean “place” or “place of.” It’s this meaning that’s used for the names of the modern -stan countries, which got it through linguistic descent (Urdu and Pashto, the respective official languages of Pakistan and Afghanistan, both descend from the Indo-Iranian language), or by adopting it (the former Soviet -stan countries have historically been mostly ethnically Turkic and speak languages from the Turkic family).

Thus:

Afghanistan is the “Land of the Afghans.” Afghan has historically referred to the Pashtun people, the country’s largest ethnic group.
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Kazakhstan is the “Land of the Kazakhs.” Kazakh is derived from a Turkic word meaning “independent.”
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Kyrgyzstan is the “Land of the Kyrgyz.” The etymology of Kyrgyz is murky, but it is usually said to be derived from the Turkic word for “forty,” in reference to forty clans that banded together.
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Pakistan means “Land of the Pure” in Urdu (from the Indo-Iranian pak, or “pure/clean”), but that’s a convenient coincidence. The country’s name was constructed as an acronym in the 1930s, referring to the area’s constituent cultures: Punjabi + Afghani + Kashmiri + Sindhi + Balochistan (and an extra i thrown in to aid pronunciation).
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Tajikistan is the “Land of the Tajiks.” Tajik was used historically by Turks to refer to “non-Turks” that spoke Iranian-related languages.
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Turkmenistan is the “Land of the Turkmen.” Older sources explain that Turkmen means “Turk-like” or “resembling a Turk,” while more modern sources interpret it as “pure Turk” or “most Turk-like.”
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Uzbekistan is the “Land of the Uzbeks.” Uzbek is said to either come from Uzbek Khan, a tribal leader who united different groups in the region, or a combination of Turkic words meaning “his own master.”