From Rudin's Principles of Mathematical Analysis:
Theorem 2.36: If {$K_\alpha$} is a collection of compact sets of a metric space X such that the intersection of every finite subcollection of {$K_\alpha$} is nonempty, then $\cap K_\alpha$ is nonempty.
Proof Fix a member $K_1$ of {$K_\alpha$} and put $G_\alpha = K_\alpha^c$. Assume that no point of $K_1$ belongs to every $K_\alpha$. Then the sets $G_\alpha$ form an open cover of $K_1$; and since $K_1$ is compact, there are finitely many indices $\alpha_1, ... , \alpha_n$ such that $K_1\subset G_{\alpha_1}\cup ... \cup G_{\alpha_n}$.
But this means that $K_1\cap K_{\alpha_1}\cap ...\cap K_{\alpha_n}$ is empty, in contradiction to our hypothesis.
My Question: Is it really necessary to use compactness to prove that $\cap K_\alpha$ is nonempty... I mean, we could have just used the fact that since $K_1$ has no elements in common with the other $K_\alpha$'s (from the assumption), then any finite subcollection {$K_\beta$} that would have $K_1$ as one of its elements would then have an empty intersection, and then $\cap K_\alpha$ = $\varnothing$. At least that's what I think... Please tell me what's wrong with my reasoning.
$K_1$ might have lots of points in common with other $K_\alpha$s, indeed it must since every finite sub-collection (such as every intersection of two sets) has nonempty intersection. The point is that we assume that no point of $K_1$ is in every $K_\alpha$ (by way of contradiction). I suppose you could assume (again by way of contradiction) that there was no elements in common with $K_1$ at all, but then you aren't satisfying the assumption of the theorem in the first place.