Let $a,b,c$ form a primitive Pythagorean triple (meaning $(a,b,c) \in \mathbb{Z}^{3}$). Let $a$ be odd. Use a proof by contradiction to show that $(c-b)$ and $(c+b)$ share no common prime factors.
My Thoughts
So I began by assuming that $(c-b)$ and $(c+b)$ shares at least one common factor.
And so, for some prime $p$, $(c-b) = xp$ and $(c+b) = yp$, such that $(x,y) \in \mathbb{Z}^{2}$
So now, I thought maybe if we set this equal to either $a^2$ or $c^2 - b^2$ I could find a contradiction. But in either case, I couldn't come to any conclusion.
You were on the right track.
From $c-b = xp\;$and $c+b = yp$, you get $$a^2 = c^2 - b^2 = (c+b)(c-b) = xyp^2$$ hence $p^2{\,\mid\,}a^2$, so $p{\,\mid\,}a$.
Since $a$ is odd, and $p{\,\mid\,}a$, it follows that $p$ is odd.
From $p{\,\mid\,}(c+b)$ and $p{\,\mid\,}(c-b)$, we get $p{\,\mid\,}\bigl((c+b)-(c-b)\bigr)$ and $p{\,\mid\,}\bigl((c+b)+(c-b)\bigr)$.
Thus, $p{\,\mid\,}2b$ and $p{\,\mid\,}2c$, but then, since $p$ is odd, it follows that $p{\,\mid\,}b$ and $p{\,\mid\,}c$.
Then $p$ is a common factor of $a,b,c$, contrary to the assumption that the triple $(a,b,c)$ is primitive.