Define $A_n = \max_{i=1}^n a_i, B_n = \min_{i=1}^n b_i$. Show that $ \bigcap_{n=1}^{\infty} [a_n, b_n] = \bigcap_{n=1}^{\infty} [A_n,B_n]. $ Since $[A_n,B_n] \subseteq [a_i,b_i]$ for $i=1, \dots, n$, one side of the inclusion is trivial. For the other side, suppose $x$ is on the LHS. Then it is in every of the $[a_n,b_n]$'s, and thus $a_n \le x$ for every $n$. But that means $A_n \le x$ for every $n$, and a similar argument shows that $x \le B_n$ for every $n$, thus giving you the reverse inclusion.
The $[A_n,B_n]$'s have a nice property : they are nested intervals, i.e. $[A_n,B_n] \supseteq [A_{n+1},B_{n+1}]$. This argument up there means that without loss of generality, we can suppose that the intervals are nested (well, we almost can, but I'll deal with it).
Now by construction $A_n$ is an increasing sequence, i.e. $A_n \le A_{n+1}$. Also, $B_{n+1} \le B_n$ by construction. We also have $A_n \le B_n$. To see this, suppose $A_n > B_n$. This means there exists $i,j$ such that $a_i > b_j$, but then $[a_i, b_i] \cap [a_j, b_j] = \varnothing$, which is excluded. Therefore we have $A_n \le A_{n+1} \le B_{n+1} \le B_n$. Therefore $A_n$ is increasing and bounded above, and $B_n$ is decreasing and bounded below, so both sequences $A_n$ and $B_n$ are convergent, call their limits $\alpha$ and $\beta$ respectively. Clearly we cannot have $\alpha > \beta$, because then there would exists $n$ such that $B_n < A_n$, which is excluded. This means $\alpha \le \beta$. Therefore, $ \bigcap_{n=1}^{\infty} [A_n, B_n] = [\alpha, \beta] \neq \varnothing. $ (This is because $x \ge \alpha$ if and only if $x \ge A_n$ for every $n$, and similarly for $B_n$.)
Hope that helps!