16 years later: More details (see Jacky's answer)
$$
\frac{1^m + 2^m + 3^m + \cdots + (2n-1)^m }{n^{m+1}}
=\frac{1}{n} \left[\left(\frac{1}{n}\right)^m
+\left(\frac{2}{n}\right)^m
+\left(\frac{3}{n}\right)^m + \cdots
+\left(\frac{2n-1}{n}\right)^m
\right]
$$
Recognize this as a Riemann sum for $\int_0^2 x^m\;dx$, where
the interval $[0,2]$ is subdivided into $2n$ equal-size intervals,
and the function is evaluated at the left endpoint of each interval. Then cite appropriate theorems to show (a) that $x^m$ is integrable on $[0,1]$, and (b) these Riemann sums converge to the integral.
Remark. In this proof, the value $m$ could be any nonnegative real number. Or even any complex number with nonnegative real part.
The integral converges for $-1<m<0$, but the elementary reasoning here will not show that the Riemann sums converge to the integral.