As my approach is different to that of Willie Wong, I give it here:
Assume $f$ is in some $L^{p_0}$.
Let $(p_n)$ be such that $0 < p_n < p_0$ and $p_n \downarrow 0$. Define:
$g_n(x) = \frac{1}{p_0} (|f(x)|^{p_0} - 1) - \frac{1}{p_n} (|f(x)|^{p_n} - 1).$
Recall that $\frac{1}{p} (x^p - 1) \downarrow \log x$ as $p \downarrow 0$ for all x > 0. So let the $g_n \to g$. Then by the Monotone Convergence Theorem we have that $\int g_n \uparrow \int g.$
This implies that $\int \frac{1}{p_n} (|f|^{p_n} -1) \downarrow \int \log |f|.$
Now, by Jensen's inequality we have
$\text{exp} \left ( \int \log |f| \right ) \leq \left ( \int |f|^{p_n} \right )^\frac{1}{p_n}$
and by the inequality $|t| \leq \text{exp}(|t| - 1)$ we get
$\left ( \int |f|^{p_n} \right )^\frac{1}{p_n} \leq \text{exp} \left ( \int \frac{1}{p_n} (|f|^{p_n} - 1) \right ).$
So, this together with our previous claim proves the theorem.