[proofplan]
We verify that the standard construction of the connecting map is independent of every choice. First, a cycle in $C_n$ and a lift in $B_n$ produce a uniquely determined cycle in $A_{n-1}$ by exactness and the chain map identities. Then we show that changing the lift changes this cycle by a boundary, and changing the representative of the homology class also changes it by a boundary. Finally, choosing lifts additively proves that the resulting map on homology is an $R$-module homomorphism.
[/proofplan]
[step:Lift a cycle in $C_n$ to a cycle in $A_{n-1}$]
Fix $n \in \mathbb Z$. Let $c \in C_n$ be a cycle, so $d^C_n c=0$. Since $p_n:B_n \to C_n$ is surjective, choose $b \in B_n$ with $p_n(b)=c$.
Because $p$ is a chain map,
\begin{align*}
p_{n-1}(d^B_n b)
=
d^C_n(p_n b)
=
d^C_n c
=
0.
\end{align*}
Thus $d^B_n b \in \ker p_{n-1}$. Exactness of
\begin{align*}
0 \longrightarrow A_{n-1} \xrightarrow{i_{n-1}} B_{n-1} \xrightarrow{p_{n-1}} C_{n-1} \longrightarrow 0
\end{align*}
gives $\ker p_{n-1}=\operatorname{im} i_{n-1}$, so there exists $a \in A_{n-1}$ such that
\begin{align*}
i_{n-1}(a)=d^B_n b.
\end{align*}
This element $a$ is unique because $i_{n-1}$ is injective.
We now prove that $a$ is a cycle. Since $i$ is a chain map,
\begin{align*}
i_{n-2}(d^A_{n-1}a)
=
d^B_{n-1}(i_{n-1}a)
=
d^B_{n-1}(d^B_n b)
=
0,
\end{align*}
because $B_*$ is a chain complex. Since $i_{n-2}$ is injective, $d^A_{n-1}a=0$. Hence $a \in \ker d^A_{n-1}$, so $[a] \in H_{n-1}(A_*)$ is defined.
[/step]
[step:Show that changing the lift changes $a$ by a boundary]
Let $b,b' \in B_n$ be two lifts of the same cycle $c \in C_n$, so $p_n(b)=p_n(b')=c$. Let $a,a' \in A_{n-1}$ be the elements determined by
\begin{align*}
i_{n-1}(a)=d^B_n b,
\qquad
i_{n-1}(a')=d^B_n b'.
\end{align*}
Then
\begin{align*}
p_n(b'-b)=p_n(b')-p_n(b)=c-c=0.
\end{align*}
Exactness in degree $n$ gives $\ker p_n=\operatorname{im} i_n$, so there exists $x \in A_n$ such that
\begin{align*}
i_n(x)=b'-b.
\end{align*}
Using that $i$ is a chain map, we compute
\begin{align*}
i_{n-1}(a'-a)
&=
i_{n-1}(a')-i_{n-1}(a) \\
&=
d^B_n b' - d^B_n b \\
&=
d^B_n(b'-b) \\
&=
d^B_n(i_n x) \\
&=
i_{n-1}(d^A_n x).
\end{align*}
Since $i_{n-1}$ is injective,
\begin{align*}
a'-a=d^A_n x.
\end{align*}
Thus $a$ and $a'$ differ by a boundary in $A_{n-1}$, so $[a']=[a]$ in $H_{n-1}(A_*)$.
[guided]
The only possible ambiguity at this stage is the choice of the lift $b$. If $b$ and $b'$ both lift the same element $c$, then their difference lies over $0$:
\begin{align*}
p_n(b'-b)=p_n(b')-p_n(b)=c-c=0.
\end{align*}
Exactness says precisely that every element of $\ker p_n$ comes from $A_n$. Therefore there is an element $x \in A_n$ with
\begin{align*}
i_n(x)=b'-b.
\end{align*}
Now compare the two elements $a,a' \in A_{n-1}$ produced from the two lifts. Their images under $i_{n-1}$ are the boundaries of the lifts:
\begin{align*}
i_{n-1}(a)=d^B_n b,
\qquad
i_{n-1}(a')=d^B_n b'.
\end{align*}
Subtracting and using the chain map identity $d^B_n i_n=i_{n-1}d^A_n$ gives
\begin{align*}
i_{n-1}(a'-a)
&=
d^B_n b' - d^B_n b \\
&=
d^B_n(b'-b) \\
&=
d^B_n(i_n x) \\
&=
i_{n-1}(d^A_n x).
\end{align*}
Since $i_{n-1}$ is injective, the equality after applying $i_{n-1}$ already holds in $A_{n-1}$:
\begin{align*}
a'-a=d^A_n x.
\end{align*}
Thus the two cycles differ by an $A$-boundary, so they define the same class in $H_{n-1}(A_*)$.
[/guided]
[/step]
[step:Show that changing the cycle representative changes $a$ by a boundary]
Let $c,c' \in C_n$ be homologous cycles. Then there exists $y \in C_{n+1}$ such that
\begin{align*}
c'=c+d^C_{n+1}y.
\end{align*}
Choose $b \in B_n$ with $p_n(b)=c$. Since $p_{n+1}:B_{n+1}\to C_{n+1}$ is surjective, choose $\widetilde y \in B_{n+1}$ with
\begin{align*}
p_{n+1}(\widetilde y)=y.
\end{align*}
Define
\begin{align*}
b' := b+d^B_{n+1}\widetilde y \in B_n.
\end{align*}
Then, using that $p$ is a chain map,
\begin{align*}
p_n(b')
&=
p_n(b)+p_n(d^B_{n+1}\widetilde y) \\
&=
c+d^C_{n+1}(p_{n+1}\widetilde y) \\
&=
c+d^C_{n+1}y \\
&=
c'.
\end{align*}
Let $a,a' \in A_{n-1}$ be determined by
\begin{align*}
i_{n-1}(a)=d^B_n b,
\qquad
i_{n-1}(a')=d^B_n b'.
\end{align*}
Then
\begin{align*}
i_{n-1}(a')
=
d^B_n b'
=
d^B_n b+d^B_n d^B_{n+1}\widetilde y
=
d^B_n b
=
i_{n-1}(a).
\end{align*}
Since $i_{n-1}$ is injective, $a'=a$. Therefore the construction gives the same class for $c$ and for the homologous representative $c'$.
For an arbitrary lift of $c'$, the preceding step shows that the resulting class is the same as the class obtained from the particular lift $b'=b+d^B_{n+1}\widetilde y$. Hence the homology class $[a] \in H_{n-1}(A_*)$ depends only on $[c] \in H_n(C_*)$.
[guided]
Now we check the second kind of ambiguity: the representative of the homology class in $C_*$. Suppose $c$ and $c'$ represent the same class in $H_n(C_*)$. By definition, their difference is a boundary, so there is an element $y \in C_{n+1}$ such that
\begin{align*}
c'=c+d^C_{n+1}y.
\end{align*}
Because $p_{n+1}:B_{n+1}\to C_{n+1}$ is surjective, we may lift $y$ to an element $\widetilde y \in B_{n+1}$ satisfying
\begin{align*}
p_{n+1}(\widetilde y)=y.
\end{align*}
Choose a lift $b \in B_n$ of $c$, and set
\begin{align*}
b' := b+d^B_{n+1}\widetilde y.
\end{align*}
This is designed so that $b'$ lifts $c'$. Indeed, since $p$ is a chain map,
\begin{align*}
p_n(b')
&=
p_n(b)+p_n(d^B_{n+1}\widetilde y) \\
&=
c+d^C_{n+1}(p_{n+1}\widetilde y) \\
&=
c+d^C_{n+1}y \\
&=
c'.
\end{align*}
Let $a$ be the element produced from $b$, and let $a'$ be the element produced from this particular lift $b'$:
\begin{align*}
i_{n-1}(a)=d^B_n b,
\qquad
i_{n-1}(a')=d^B_n b'.
\end{align*}
Then the extra term in $b'$ disappears after applying $d^B_n$, because $B_*$ is a chain complex:
\begin{align*}
i_{n-1}(a')
=
d^B_n b'
=
d^B_n b+d^B_n d^B_{n+1}\widetilde y
=
d^B_n b
=
i_{n-1}(a).
\end{align*}
Injectivity of $i_{n-1}$ gives $a'=a$.
This proves independence for one carefully chosen lift of $c'$. If another lift of $c'$ is chosen, the previous step applies and shows that it changes the resulting element of $A_{n-1}$ only by an $A$-boundary. Therefore the class in $H_{n-1}(A_*)$ depends only on the homology class $[c]$.
[/guided]
[/step]
[step:Prove that the connecting map is $R$-linear]
The preceding steps define a function
\begin{align*}
\partial_n: H_n(C_*) &\longrightarrow H_{n-1}(A_*) \\
[c] &\longmapsto [a].
\end{align*}
We prove that it is an $R$-module homomorphism.
Let $[c_1],[c_2]\in H_n(C_*)$, and choose cycle representatives $c_1,c_2 \in C_n$. Choose lifts $b_1,b_2 \in B_n$ with
\begin{align*}
p_n(b_1)=c_1,
\qquad
p_n(b_2)=c_2.
\end{align*}
Let $a_1,a_2 \in A_{n-1}$ be determined by
\begin{align*}
i_{n-1}(a_1)=d^B_n b_1,
\qquad
i_{n-1}(a_2)=d^B_n b_2.
\end{align*}
Then $b_1+b_2$ is a lift of $c_1+c_2$, and
\begin{align*}
i_{n-1}(a_1+a_2)
=
i_{n-1}(a_1)+i_{n-1}(a_2)
=
d^B_n b_1+d^B_n b_2
=
d^B_n(b_1+b_2).
\end{align*}
Hence
\begin{align*}
\partial_n([c_1]+[c_2])
=
[a_1+a_2]
=
[a_1]+[a_2]
=
\partial_n([c_1])+\partial_n([c_2]).
\end{align*}
Let $r \in R$ and $[c]\in H_n(C_*)$. Choose a cycle representative $c \in C_n$, a lift $b \in B_n$ with $p_n(b)=c$, and $a \in A_{n-1}$ with $i_{n-1}(a)=d^B_n b$. Then $rb$ is a lift of $rc$, and, since the differentials and $i_{n-1}$ are $R$-linear,
\begin{align*}
i_{n-1}(ra)
=
r\,i_{n-1}(a)
=
r\,d^B_n b
=
d^B_n(rb).
\end{align*}
Therefore
\begin{align*}
\partial_n(r[c])
=
[ra]
=
r[a]
=
r\,\partial_n([c]).
\end{align*}
Thus $\partial_n$ is additive and homogeneous over $R$, so it is an $R$-module homomorphism.
[/step]