QUESTION : Let $G$ be a group, let $X$ be a set, and let $H$ be a subgroup of $G$. Let $$N = \bigcap_{g\in G} gHg^{-1}$$ Show that $N$ is a normal subgroup of $G$ cointained in $H$.
MY ATTEMPT: I began by asking myself precisely what $\bigcap_{g\in G} gHg^{-1}$ means. I concluded that it must mean that if $g_1, g_2, g_3, ... , g_n \in G$ then $N$ might just be $$ g_1H{g_1}^{-1} \cap g_2H{g_2}^{-1} \cap g_3H{g_3}^{-1} \cap ... g_nH{g_n}^{-1}$$ which I figured is actually just $H$ because that's the only element that all those elements have in common.
Therefore I figured that $N=H$.
Now my problem comes in showing that $H$ is a normal subgroup of $G$. I've never been good at that.
You already have several good answers, and have probably completed the question yourself, but I'd like to provide my point of view.
Begin with two trivial observations:
Together these facts give you that $N$ is a subgroup of $H$. Therefore, the main part of the proof is normality. Now, ask yourself the following question:
In particular, my claim is that when we conjugate $N$ by some $x\in G$, we are simply inducing a permutation of the components of the intersection, which of course does not change the resulting content. Can you see why this is true?
It's easy to visualize: like a pinwheel, permuting the leaves does not change the bulb.
Now let's look at this from a different angle.
We know that we can't form a quotient group from $H$ unless $H$ is normal. But let's try anyway and see what we get.
Explicitly, this means "given the homomorphism $\theta:G\rightarrow \operatorname{Sym}(G\backslash H)$ by $\theta(g)=\theta_g$ where $\theta_g(Ha)=H(ag)$, what is $\operatorname{ker}(\theta)$?" or, more simply, "for which $k\in G$ does $Hak=Ha$ hold for all $a\in G$?
If this is true for all $a\in G$, then in particular it is true for $a=\operatorname{id}_G$, so $k\in H$. Furthermore, the set of these $k$ must be normal in $G$ (as expected, since kernels are always normal). Since all such $k$ are contained in $\operatorname{ker}(\theta)$, we must then have that $N=\operatorname{ker}(\theta)$ is precisely the largest normal subgroup of $G$ contained in $H$.
In this way, we see that $G/N$ is the best we can do when trying to make a quotient group from a not-necessarily-normal subgroup $H$.
Hopefully this provides some motivation and/or intuition towards this problem and why it matters.