It took spot kicks to seperate the two sides after the match ended 1-1 after extra time.
In a first half dominated by the Bundesliga side, Bayern's first opportunity came after only four minutes when Toni Kroos flashed his shot narrowly wide of Petr Cech's post.
Former Chelsea winger Arjen Robben should have done better minutes later, but his effort flew high and wide of the opposition goal.
As the Blues struggled to get out of their own half, the ever-dangerous Mario Gomez headed over from Franck Ribery's inviting cross.
Bayern's best chance of the opening 45 minutes fell to Robben, whose low shot was bundled away at his near post by an unknowing Cech.
Chelsea's first real threat came with 10 minutes to go in the half, but Juan Mata could only curl his free kick over the crossbar.
The Premier League side asserted themselves more in the final stages and they forced a good save from Manuel Neuer when he pushed away Salomon Kalou's shot at the the near post.
There was one final opportunity in the half for Gomez who somehow blasted his effort over from 10 yards.
Bayern started strongly after the break, but it was Chelsea who had the first sight on goal when Didier Drogba's speculative volley went wide.
Jupp Heynckes's side thought that they had opened the scoring soon after, but Franck Ribery was ruled offside after he had tapped in at the back post.
Bayern soon began to bombard the Chelsea goal and it was only the heroic defending of Ashley Cole that kept them at bay.
The full-back threw himself in front of a number of efforts as the Blues hung on for their lives.
The Germans thought that they had won the match with seven minutes to play when Muller snuck in at the back post to head in Bastian Schweinsteiger's cross.
However, Drogba nodded in from Chelsea's first corner of the game with just two minutes left to play to take the game into extra time.
The first period of extra time started badly for Chelsea when Drogba fouled Ribery to concede a penalty. However, Cech dived low to deny Robben and keep the scores level.
They were let off the hook once more in the second period as Daniel Van Buyten was inches away from getting on the end of fellow substitute Ivica Olic's cushioned pass across goal.
After neither side could find a winner, the match had to be decided on penalties.
Despite Mata missing Chelsea's first kick of the shootout, misses from Olic and Schweinsteiger gave Drogba the chance to win it for his team. The Ivorian calmly tucked his spot kick away as the Blues sealed a famous triumph.