One of the definitions of $f$ being analytic is that is satisfies the Cauchy-Riemann equations. Assuming both $g,f$ analytic, can you plug $g(f(z))$ into the Cauchy-Riemann equations and see what happens?
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One way is to use the Cauchy Riemann equations.
Another way :
$\lim\limits_{z \to z_{0}} \frac{g(f(z))-g(f(z_{0}))}{z-z_0}=\lim\limits_{z \to z_{0}} \frac{g(f(z))-g(f(0))}{f(z)-f(0)} \frac{f(z)-f(z_0)}{z-z_0}$. It is not hard to see that this limit is $g'(f(z_0))f'(z_0)$.
HINT
One of the definitions of $f$ being analytic is that is satisfies the Cauchy-Riemann equations. Assuming both $g,f$ analytic, can you plug $g(f(z))$ into the Cauchy-Riemann equations and see what happens?