Below we first give a natural proof using modular arithmetic, then we explain how to translate it into divisibility language, and finally we show how to make the induction obvious by bringing to the fore the innate monoid structure (i.e. closure under multiplication), revealing that the induction is the obvious induction that sets closed under multiplication are closed under powers.
Hint $\ $ See this answer for various proofs of the base case $\,30\mid \color{#0a0}{a^{\large 5}-a}.\,$ The inductive step is
$\ {\rm mod}\ 30\!:\,\ \color{#c00}{a^{\large 4n+1}\equiv a}\,\Rightarrow\,a^{\large 4(n+1)+1}\!\equiv a^{\large 4} \color{#c00}{a^{\large 4n+1}}\!\equiv a^{\large 4}\color{#c00}a\equiv \color{#0a0}{a^{\large 5}\equiv a}.\ \ $ QED
Remark $\ $ If modular arithmetic is unfamilar you can eliminate it above to obtain
$$ a^{\large 4(n+1)+1}\!-a = a^4(\color{#c00}{a^{4n+1}\!-a}) + \color{#0a0}{a^5 - a} $$
By our induction hypothesis we know that $\,30\mid \color{#c00}{a^{4n+1}-a}\,$ and $\,30\mid \color{#0a0}{a^{\large 5}-a}\,$ by the base case, hence $30$ divides the RHS above, so also the equal LHS, which completes the inductive proof. The proofs in Daniel's and egreg's answers are essentially the same, except they work explicitly with quotients instead of using divisibility inferences.
Alternatively you can prove by induction that $\,a^4-1\mid a^{4n}-1\,$ then scale that by $\,a.$
Monoid Structure $\ $ Abstracting the first proof yields the following
$$ ab\equiv a\equiv ac\,\Rightarrow \overbrace{a\,b}^{\large a}c\equiv a$$
Thus the solution set $S$ of $\,ax\equiv a\,$ is closed under multiplication, i.e. $\, b,c\in S\,\Rightarrow\, bc\in S.\,$ By an obvious induction this implies that $\,S\,$ is closed under powers $\,b\in S\,\Rightarrow\, b^n\in S\,$ for all $\,n\ge 1.\,$ The first proof is just the special case $\, b = a^4.$
Thus the essence of the induction is that sets closed under multiplication are closed under powers. Bringing to the for this innate algebraic structure simplifies the problem so much that the inductive step becomes obvious. Such simplification occurs frequently in common induction problems (e.g. here) so it is worth the effort to first look for such innate structure before diving head-first into brute force inductive proofs.
:-)
– Daniel W. Farlow Jul 21 '16 at 21:20