Prove that if there exists a chain of subgroups $G_1 \leq G_2 \leq \cdots \leq G$ such that $G = \bigcup_{i=1}^\infty G_i$ and each $G_i$ is simple then $G$ is simple.
I have proved the following lemma:
Let $N \triangleleft G$. Then $N\cap G_i \triangleleft G_i$ for each $G_i$.
$N \cap (\cup_{i=1}^\infty G_i) = \cup_{i=1}^\infty (N \cap G_i)$
Since each $G_i$ is simple, we have $N \cap G_i \in \{ 1, G_i \}$.
Suppose $N \cap G_i = 1$ for all $G_i$. Then $$N = N \cap G = N \cap (\bigcup_{i=1}^\infty G_i) = \bigcup_{i=1}^\infty (N \cap G_i) = \bigcup_{i=1}^\infty 1 = 1.$$ Hence $N = 1$.
Then I am not quite sure how to handle the case that $N \cap G_k = G_k$?
If there is $k\ge 1$ such that $N\cap G_k=G_k$, then you have two cases:
1) There are finitely many such $k$, and then there exists an $n_0\ge 1$ such that $N\cap G_n=\{1\}$ for all $n\ge n_0$, so $N=N\cap(\cup_{n\ge n_0}G_n)=\cup_{n\ge n_0}(N\cap G_n)=\{1\}$. (Here I've used that $\cup_{n\ge n_0}G_n=G$.)
2) There are infinitely many such $k$, and then there exists a sequence $(k_n)_{n\ge 1}$ such that $N\cap G_{k_n}=G_{k_n}$ for all $n\ge 1$, so $N=N\cap(\cup_{n\ge 1} G_{k_n})=\cup_{n\ge 1}(N\cap G_{k_n})=\cup_{n\ge 1}G_{k_n}=G$.