Consider the sequence $\{0,1,\sqrt{2},\sqrt{2}^{\sqrt{2}},\sqrt{2}^{\sqrt{2}^{\sqrt{2}}},\ldots\}$. In other words the sequence with $a_0=0$ and $a_{n+1}=\sqrt{2}^{a_{n}}$.
Note that $a_0<2$. Assume that for some $n$, that $a_n<2$. Then $a_{n+1}=\sqrt{2}^{a_n}<\sqrt{2}^2=2$. So by induction, $a_n<2$ for all $n$.
Note that $a_0<a_1$. Suppose that for some $n$, that $a_{n-1}<a_n$. Then $\sqrt{2}^{a_{n-1}}<\sqrt{2}^{a_n}$, so $a_n<a_{n+1}$. So by induction, $a_n<a_{n+1}$ for all values of $n$. In other words, the sequence is increasing.
So we have that this sequence is increasing and bounded above. Therefore it converges to some limit $L$. That means
$$\begin{align}
a_{n+1}&=\sqrt{2}^{a_n}\\
\lim_{n\to\infty}a_{n+1}&=\lim_{n\to\infty}\sqrt{2}^{a_n}\\
L&=\sqrt{2}^L\\
\end{align}$$
By concavity, there are only two solutions to this equation, and fortunately it's easy to identify both: $L=2$ or $L=4$. But $L$ cannot be $4$, since the sequence was bounded by $2$.
So this establishes that $\lim_{n\to\infty}a_{n}$ exists and that its value is $2$.