I would definitely consider the ntheorem
package for this; it has a lot of very useful pre-defined styles, including break
which is perfect for what you want; note that this won't ever orphan your Proof
from its body.

\theoremstyle{nonumberbreak}
\theoremsymbol{\ensuremath{\diamondsuit}}
\theorembodyfont{}
\theoremheaderfont{\itshape}
\renewtheorem{proof}{Proof}
It also has a robust algorithm for assigning a theoremmark
, which can be whatever symbol you want.
\documentclass{article}
\usepackage{amsmath}
\usepackage[amsmath,standard,thmmarks]{ntheorem}
\theoremstyle{nonumberbreak}
\theoremsymbol{\ensuremath{\diamondsuit}}
\theorembodyfont{}
\theoremheaderfont{\itshape}
\renewtheorem{proof}{Proof}
\begin{document}
\begin{proof}
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
Your proof goes here
\end{proof}
\end{document}
For further reading, you might also like to have a look at the question and answers here Definitive guide to trivlists; you'll see it is all about having an environment with a heading on a new line (that won't get orphaned).
\documentclass
and the appropriate packages so that those trying to help don't have to recreate it. – Peter Grill Dec 1 '12 at 9:52\mbox{}\\
after the closing]
instead of\newline
before it? Usually I advise against having "Proof" in a line by itself: it creates a lot of white space and is not necessary as the italic shape used for "Proof" already makes it prominent. – egreg Dec 1 '12 at 10:57