I am quite fond of the following proof of Nakayama's lemma, which is sketched (very briefly) on the first page of Serre's Local Algebra. It uses a couple of standard facts about simple modules and cyclic modules which are useful in their own right. What I like about the proof is that it singles out what makes the zero module special, namely that is the only finitely generated module which doesn't have a maximal submodule.
Fix a commutative ring $A$. We recall that an $A$-module $M$ is cyclic if it is generated by a single element; and $M$ is simple if it has exactly two submodules, namely $0$ and $M$. Thus, the zero module is not simple, in analogy with the convention that $1$ is not prime.
We begin with a couple of lemmas which characterise cyclic modules as the quotients of $A$, and simple modules as quotients of $A$ by maximal ideals. The reader familiar with these characterisations may wish to skip this section.
Claim. If $M$ is a simple $A$-module and $m$ is a nonzero element of $M$, then $\langle m\rangle=M$. In particular, $M$ is cyclic.
Proof. Since $\langle m\rangle\neq0$, the simplicity of $M$ implies $\langle m\rangle = M$.
Claim. If $I\subseteq A$ is an ideal, the quotient $A/I$ is a cyclic $A$-module.
Proof. The module $A/I$ is generated by $1$.
Claim. If $M$ is a cyclic $A$-module generated by $m$, then $M$ is isomorphic to the quotient of $A$ by the annihilator $I$ of $m$.
Proof. The linear map $A\to M, \ a\mapsto am$ induces the desired isomorphism.
Claim. If $\mathfrak m\subset A$ is a maximal ideal, the quotient $A/\mathfrak m$ is simple.
Proof. Recall that if $N$ is a submodule of an $A$-module $M$, there is a one-to-one correspondence between submodules of $M$ containing $N$, and submodules of $M/N$. The claim follows immediately from this theorem.
Claim. If $M$ is a simple $A$-module, then $M\cong A/I$ for some maximal ideal $I$.
Proof. Since $M$ is simple and therefore cyclic, there is an ideal $I$ such that $M\cong A/I$. But if $I$ is not maximal, say $I\subset J\subset A$ for some ideal $J$, then the image of $J$ in $A/I$ is a proper nonzero submodule of $A/I$.
With the above theorems in hand, we can begin to understand the structure of finitely generated modules. This is the key to Nakayama.
Claim. A finitely generated nonzero module $M$ has a maximal submodule. That is, if $\mathcal A$ is the collection of proper submodules of $M$, ordered by inclusion, then $\mathcal A$ has a maximal element.
Proof. We can adapt the proof using Zorn's lemma that every nonzero ring has a maximal ideal. Suppose $\mathcal B$ is a chain in $\mathcal A$. If $\mathcal B$ is empty, then since $M$ is nonzero, the zero module is an upper bound of $\mathcal B$. Otherwise, $\mathcal B$ is nonempty, and $N=\bigcup_{P\in\mathcal B}P$ is a submodule of $M$ such that $P\subseteq N$ for every $P\in\mathcal B$. To conclude that $N$ is an upper bound of $\mathcal B$, it thus suffices to check that $N$ is a proper submodule of $M$. Suppose for contradiction that $N=M$, and let $m_1,\dots,m_r$ be a family of generators of $M$. For each $i\in \{1,\dots,r\}$, choose a module $P_i\in\mathcal B$ such that $m_i\in P_i$. Since $\{P_1,\dots,P_r\}$ is a finite subset of the chain $\mathcal B$, it has a maximum element $P$. But then $m_1,\dots,m_r \in P$, so $P=M$, contrary to the fact that $P\in\mathcal B$. We conclude that $\mathcal A$ is inductively ordered, and hence by Zorn it has a maximal element.
Claim. If $N$ is a maximal submodule of an $A$-module $M$, then the quotient $M/N$ is simple.
Proof. This is immediate from the correspondence theorem for modules.
Claim. If $M$ is a simple $A$-module, then the Jacoboson radical $J$ of $A$ annihilates $M$.
Proof. We may assume that $M=A/\mathfrak m$ for some maximal ideal $\mathfrak m\subset A$. Then, $\mathfrak mM=0$, hence $JM=0$.
Theorem (Nakayama's lemma). Suppose $M$ is a finitely generated $A$-module, and $J$ is the Jacobson radical of $A$. Then, $M=JM$ implies $M=0$.
Proof. We prove the contrapositive, i.e. that if $M\neq0$ then $M\neq JM$. Let $N$ be a maximal submodule of $M$. The quotient $M/N$ is simple, and hence annihilated by $J$. It follows that $JM\subseteq N\subset M$, and the proof of Nakayama's lemma is complete.