On Wolfram Mathworld they give a unit vector in the $\textbf{x}_n $ direction as: $$ \hat{\textbf{x}_n} \equiv \dfrac{\frac{\partial \textbf{r}}{\partial x_n}}{\lvert \frac{\partial \textbf{r}}{\partial x_n} \rvert} $$
Can anyone give an intuitive interpretation of this? Alternatively, seeing a proof would help explain where this equation comes from, and help me out.
My current understanding is as follows. For an example in polar coordinates, $\dfrac{\partial \textbf{r}}{\partial \theta}$ is the change in $\textbf{r}$ generated by a change of $\theta \rightarrow \theta+d\theta$. That change is a movement along the $\theta$ direction, as shown in the picture below.

I'm not too sure, however, if this is a valid interpretation.
That is overly complicated. A unit vector is a simple thing.
A unit vector is just a vector with size 1. You can get a unit vector just by dividing a vector by its norm:
$$\hat{x}=\frac{x}{\|x\|}.$$
Now $\hat{x}$ is a unit vector pointing in the same direction as $x$.
Wolfram Alpha is giving an example of that.