I have always been amazed by the continued fractions for $\pi$. For example some continued fractions for pi are:
$\pi=[3:7,15,1,292,.....]$ and many others given here.
Similarly some nice continued fractions for $e$ and it's derivatives are given here.I have tried to prove that the are indeed the continued fractions but did not get very far.If any one can can help it would be great(especially if there is some easy way to get continued fraction of derivatives of e from the original continued fraction of e).Here derivatives of e I mean $\sqrt e,\frac{e-1}{e+1} $ etc.
Recently I have had some misgivings about using the other listed methods to compute continued fractions. It seems very inconvenient to be required to have a very good decimal approximation of your number before computing the convergents you want.
Here is a paper by Shiu which gives an algorithm for computing continued fractions without needing to know more decimal digits at each stage; it only requires your number ($\pi$ in your case) to be a zero of a sufficiently nice differentiable function. Here is the abstract:
As for proving that a number has a specified continued fraction, that is much harder. For instance, there is no known pattern for the convergents of $\pi$ (and if you could find one, it would be pretty monumental). $e$ is special because its continued fraction follows a known pattern, which can be proved using so called Padé approximants. See one proof here.