I'm partial to a proof published in The College Mathematics Journal, Vol. 46, No. 3, May 2015, p. 215 - 217, perhaps because I wrote it, although I'm sure that thousands of others came up with the same proof. You can read and download the complete paper for free at https://www.academia.edu/18549734/An_Even_Simpler_Proof_of_the_Right-Hand_Rule However, you will have to sign up on Academia.edu, so if you don't want to do that here's a proof of the main case:
Imagine you're way up on the positive z-axis, looking down on the x-y plane, and a and b both have initial points at the origin. Let $\textbf{a}_\textbf{p} = (a{_1}, a{_2}, 0 )$ and $\textbf{b}_\textbf{p} = (b{_1}, b{_2}, 0)$ be respectively the projections of a and b onto the x-y plane. Assume that $\textbf{a}_\textbf{p}$ and $\textbf{b}_\textbf{p}$ are not collinear. Look at the smaller of the two angles formed by $\textbf{a}_\textbf{p}$ and $\textbf{b}_\textbf{p}$.
The right-hand rule says that from this perspective, if a is to the right of b then the z-component of a x b will be positive, since your thumb will point up, and if a is to the left of b then the z-component of a x b will be negative, since your thumb will point down. Note that the left-right orientation of $\textbf{a}_\textbf{p}$ and $\textbf{b}_\textbf{p}$ is the same as the left-right orientation of a and b, i.e., if a is to the right of b then $\textbf{a}_\textbf{p}$ is to the right of $\textbf{b}_\textbf{p}$, and if a is to the left of b then $\textbf{a}_\textbf{p}$ is to the left of $\textbf{b}_\textbf{p}$.
Let $\alpha$ and $\beta$ be the measures of the angles which $\textbf{a}_\textbf{p}$ and $\textbf{b}_\textbf{p}$ respectively form with the positive x-axis, where $0 \leq \alpha, \beta < 2\pi$, and as usual, positive angle measurements correspond to counterclockwise rotations. Note that a x b and $\textbf{a}_\textbf{p}$ x $\textbf{b}_\textbf{p}$ have the same z-component,
$$a{_1}b{_2} - a{_2}b{_1} = (\left|\textbf{a}_\textbf{p}\right|\cos\alpha)(\left|\textbf{b}_\textbf{p}\right|\sin\beta) - (\left|\textbf{a}_\textbf{p}\right|\sin\alpha)(\left|\textbf{b}_\textbf{p}\right|\cos\beta )\\ = \left|\textbf{a}_\textbf{p}\right|\left|\textbf{b}_\textbf{p}\right|[(\sin\beta)(\cos\alpha) - (\sin\alpha)(\cos\beta)]\\ = \left |\textbf{a}_\textbf{p}\right|\left|\textbf{b}_\textbf{p}\right|\sin(\beta - \alpha)$$
Suppose a is to the right of b. Then $\textbf{a}_\textbf{p}$ is to the right of $\textbf{b}_\textbf{p}$, so $0 < \beta - \alpha < \pi$ (e.g., if $\textbf{a}_\textbf{p}$ is in Quadrant I and $\textbf{b}_\textbf{p}$ is in Quadrant II) or $-2\pi < \beta - \alpha < -\pi$ (e.g., if $\textbf{a}_\textbf{p}$ is in Quadrant IV and $\textbf{b}_\textbf{p}$ is in Quadrant I). In each of these cases, $\sin(\beta - \alpha) > 0$, so the z-component of a x b is positive, as stated by the right-hand rule. Similarly, if a is to the left of b then $\textbf{a}_\textbf{p}$ is to the left of $\textbf{b}_\textbf{p}$, so $-\pi < \beta - \alpha < 0$ or $\pi < \beta - \alpha < 2\pi$, so $\sin(\beta - \alpha) < 0$, thus the z-component is negative.