It has long been thought impossible to make a proof
environment which automatically includes an 'end-of-proof' symbol.
Some proofs end in displayed maths; others do not. If the input file
contains
...\] \end{proof} then LaTeX finishes off
the displayed maths and gets ready for a new line before it reads any
instructions connected with ending the proof, so the code is very
tricky. You can insert the symbol by hand, but the
ntheorem package now solves the problem for LaTeX users:
it does indeed provide an automatic way of signalling the end of a
proof.
The AMSLaTeX package amsthm also provides a
proof environment that does the job; though you need to
insert a \qedhere command if the proof ends with a displayed
equation:
\begin{proof}
text...
\begin{equation*}
maths... \tag*{\qedhere}
\end{equation*}
\end{proof}
The \tag*{\qedhere} construction may be used in any of
AMSLaTeX's numbering environments.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=proof