There are two basic proofs for this, a number theoretic proof and a group theory proof.  This is the group theory proof:

Note that the integers modulo p form a group under multiplication (with 0 removed).  By Lagrange's theorem, for any element a in a group G, a^|G| = e, the identity.  Specifically, if a is a non-zero integer modulo p, then a^(p-1) = 1, as p-1 is the order of this group under multiplication.