There are clever ways to prove it, but a straightforward argument by cases is certainly possible. If you take that route, I’d break it into three cases: $xy<0$, $xy=0$, and $xy>0$. Specifically, you’d need to show that
- $|x+y|<\max(|x|,|y|)$ when $xy<0$;
- $|x+y|\ge\max(|x|,|y|)$ when $xy=0$; and
- $|x+y|\ge\max(|x|,|y|)$ when $xy>0$.
It might be easiest to look at the last case first. If $xy>0$, either $x$ and $y$ are both positive, or $x$ and $y$ are both negative. If $x,y>0$, then $x+y>0$, so $|x+y|=x+y$, and $\max(|x|,|y|) =$ $\max(x,y)$. Is it true that $x+y\ge\max(x,y)$ when $x$ and $y$ are both positive? Sure: if $0, then $\max(x,y)=y>x+y$, and the if $0, then $\max(x,y)=x>x+y$. Now what happens if $x,y<0$? Then $x+y<0$ as well, so $|x|=-x,|y|=-y$, and $|x+y|=$ $-(x+y)=(-x)+(-y)$, and $|x+y|=(-x)+(-y)>\max(-x,-y)=\max(|x|,|y|)$ by the same reasoning that we just used (since $-x$ and $-y$ are positive).
It should be pretty easy to deal with the middle case. To deal with the first one, you could begin by observing that everything is symmetric with respect to $x$ and $y$: if you interchange $x$ and $y$ everywhere, nothing really changes. Thus, you might as well assume that $x<0, because the case $y<0 is going to be exactly the same with $x$ and $y$ interchanged. You might then want to break it into two subcases: $|x|<|y|$, and $|x|\ge|y|$. Then peel off the absolute values much as I did above, using the fact that $|z|=-z$ when $z<0$, and see whether it really is true that $|x+y|<\max(|x|,|y|)$ in both subcases of this case.