Let $H$ be a subgroup of $G $ with smallest possible prime index. Then $H$ is normal in $G$.
Above exercise is one of the classical exercises in group theory. The classical solution depends on group action on cosets of $H$. I want to share a proof not depending on group action. If you have other solutions, please share.
proof: If $H$ is not normal then assume $H\neq H^g$. Then $$|HH^g|=|H|\dfrac{|H|}{|H\cap H^g|}$$.
Notice that $\dfrac{|H|}{|H\cap H^g|}\geq p$. Thus, $|HH^g|\geq G$. We must have $HH^g=G$.
$g=hg^{-1}kg$ for some $h,k\in H$. Then $g=kh\in H$. As a result $H=G$ which is a contradiction.
the above proof is not wrong. – mesel Apr 09 '16 at 21:43