$C^1(\mathbb{R}^n)$ implies locally Lipschitz in $\mathbb{R}^n$ According to wikipedia a function $f\colon \mathbb{R}^n\to\mathbb{R}^n$ that is continuously differentiable, is also locally Lipschitz.
I there someone who knows a good reference which contains a proof of this statement?

The exact quote on wiki was:

In particular, any $C^1$ function is locally Lipschitz, as continuous functions on a locally compact space are locally bounded so its gradient is.

The logic here is we would like to show the gradient of a $C^1$-function is locally bounded on a locally compact space, thus to obtain the Lipschitz continuity. Hence your question boils down to how to prove:

A continuous function on a locally compact space is locally bounded.

While I am not one hundred percent sure which real analysis textbook has the exact result, you may refer to this Wikipedia entry, we could use Stone-Weierstrass theorem to prove: roughly speaking, since $\mathbb{R}^n$ is locally compact, for any point $x\in \mathbb{R}^n$, choose a compact neighborhood $S$ of $x$, we could use S-W theorem to prove that, for a continuous function on $S$, there exists a sequence of vector-valued polynomials $\{p_n\}$ that converge uniformly to the function of interest $f$ on $S$, and use the triangle inequality in the supreme norm, we could see $f$ is bounded on $S$. Thus the local boundedness of $f$ is proved.
To sum up: Gradient of $C^1$-function is continuous $\to$ A continuous function on a locally compact space(notice the gradient of $f$ you gave is the Jacobian matrix but the argument still applies) is locally bounded $\to$ Gradient of $C^1$-function is locally bounded $\to$ By mean value theorem $C^1$-function is locally Lipschitz.

EDIT: As Neal suggested, it suffices to argue as follows: For any $x_0\in \mathbb{R}^n$, on a compact set within some neighborhood $S \subset B(x_0,\epsilon)$, for $x,y\in S$:
$$
\frac{\|f(x)-f(y)\|}{\|x-y\|} \leq \sup_{\xi\in S} \| Df\|<L(x_0)
$$
again we rely on continuous functions are bounded on compact set, and the Lipschitz constant depends on $x_0$, this is the local Lipschitz property you need.
