In the book of Silverman, the below proof is given of the above :
$$a= q_1b + r_1$$ $$b =q_2 r_1+ r_2$$ $$r_1 =q_3r_2 + r_3$$ $$\vdots$$ $$r_{n-3} = q_{n-1}r_{n-2} + r_{n-1}$$ $$r_{n-2} = q_n r_{n-1} + r_n$$ $$r_{n-1} = q_{n+1}r_n + 0$$
But why is $r_n$ the greatest common divisor of $a$ and $b$? Suppose that $d$ is any common divisor of $a$ and $b$. We will work our way back down the list of equations. So from the first equation $a = q_1b + r_1$ and the fact that $d$ divides both $a$ and $b$, we see that $d$ also divides $r_1$. Then the second equation $b = q_i + r_2$ shows us $d$ must divide $r_2$. Continuing down line by line, at each stage we will know $d$ divides the previous two remainders $r_{i-1}$ and $r_i$, and then the current line $r_{i-1} = q_{i+1}r_i+ r_{i +1}$ will tell us that $d$ also divides the next remainder $r_{i + 1}$. Eventually, we reach the penultimate line $r_{n-2} = q_nr_{n-1} + r_n$, at which point we conclude that $d$ divides $r_n$. So we have shown that if $d$ is any common divisor of $a$ and $b$, then $d$ will divide $r_n$. Therefore, $r_n$ must be the greatest common divisor of $a$ and $b$.
I take the above proof to an example, say $b = 32, a=33*8=264, r_n= gcd(a,b)= 8, d= 4$. Now, $a=32*8 + r_1$, with $b=32, q=8, r_1=8, d=4\mid r_n=4$. Similarly, the argument can continue on.
But, it appears unconvincing to me from the very start. May be a contradiction based proof would have worked better, by taking the prime factorization of $a,b$, and showing that a non-common divisor would not divide at any step at least two of the three terms.
Or may this approach is not proper itself.