How to prove that elementary matrices actually perform their intended row operations: multiplying by a constant, adding a multiple of one row to another, and switching two rows?
I've seen examples of their use, but I haven't seen a proof for an $n$ by $n$ matrix.
The key is to understand what matrix matrix multiplication really does. Consider the problem of computing the product $C = AB$, where all matrices are square of dimension $n$ for the sake of simplicity. By definition we have \begin{equation} c_{i,j} = \sum_{k=1}^n a_{ik}b_{k,j} \end{equation} for each component $c_{i,j}$. If we zoom out and consider the $i$ row of $C$ using notation adapted from MATLAB we have \begin{equation} c_{i,1:n} = \sum_{k=1}^n a_{ik}b_{k,1:n}. \end{equation} This shows that the $i$th row of $C$ is obtained by forming linear combinations of all $n$ rows of $B$ using the coefficient along the $i$th row of $A$ as weights. In particular, if $a_{ik} = 0$, then the $k$ row of $B$ is not involved in the computation of the $i$th row of $C$.
The case of the elementary matrices is now easy to understand as the vast majority of the entries are either zeros or ones.