I agree with the others. Publish the better proof. Acknowledge it. But also mention that you originally had your own proof--otherwise readers may think you did not have a proof before you received the referee's proof. Example:

Theorem. statement
Proof. [I with to thank an anonymous referee for this proof, which is better than my original proof.] proof

I agree with the others. Publish the better proof. Acknowledge it. But also mention that you originally had your own proof--otherwise readers may think you did not have a proof before you received the referee's proof. Example:

Theorem. statement
Proof. [I wish to thank an anonymous referee for this proof, which is better than my original proof.] proof