Does math require a concept of infinity?
For instance if I wanted to take the limit of $f(x)$ as $x \rightarrow \infty$, I could use the substitution $x=1/y$ and take the limit as $y\rightarrow 0^+$.
Is there a statement that can be stated without the use of any concept of infinity but which unavoidably requires it to be proved?
Surprisingly, infinity proves necessary even for finite combinatorial mathematics. For a nice explanation as to why there cannot be any such as thing as a comprehensive, self-contained discipline of finite combinatorial mathematics see Stephen G. Simpson's writeup of his expository talk Unprovable Theorems and Fast-Growing Functions, Contemporary Math. 65 1987, 359-394.
Simpson gives a detailed discussion of three theorems about finite objects whose proofs necessarily require the use of infinite sets. The three theorems discussed are about colorings of finite sets (modified finite Ramsey theorem), embeddings of finite trees (Friedman's finite form of Kruskal's theorem) and iterated exponential notation for integers (Goodstein's theorem).
Below is an excerpt from the introduction.