@ColinTheMathmo I have a feeling you've asked this before and if you did it's possible that I gave this answer when you did, but:
Theorem: a sequence (of, say, real numbers) of length bigger than MN contains either M elements that form an increasing subsequence or N elements that form a decreasing subsequence.
Proof: for each element in the sequence, find the longest increasing and decreasing subsequences ending there; call them m,n; label that element with (m,n).
No two elements can have the same label because if x has label (m,n) and comes before y, then if x<y then the first component of y's label is at least m+1 and if x>y then the second component of y's label is at least n+1. (Because you can just extend one of the sequences ending at x by adding y to it.)
So, by the pigeonhole principle, it is impossible for all the labels to be in [1,M] x [1,N], because then there would be more elements than labels but all labels unique.
Which, by the definition of the labels, is just another way of saying: there's either an increasing sequence of length > M or a decreasing sequence of length > N, qed.