$A_n$ is the only subgroup of $S_n$ of index $2$.

As mentioned by yoyo: if $H\subset S_n$ is of index 2 then it is normal and $S_n/H$ is isomorphic to $C_2=\{1,-1\}$. We thus have a surjective homomorphism $f:S_n\to C_2$ with kernel $H$. All transpositions in $S_n$ are conjugate, hence $f(t)\in C_2$ is the same element for every transposition $t\in S_n$ (this uses the fact that $C_2$ is commutative). $S_n$ is generated by transpositions, therefore $C_2$ is generated by $f(t)$ (for any transposition $t\in S_n$), therefore $f(t)=-1$, therefore ker $f=A_n$.

subgroups of index two are normal (exercise). $A_n$ is simple, $n\geq 5$ (exercise). if there were another subgroup $H$ of index two, then $H\cap A_n$ would be normal in $A_n$, contradiction.

Other Way :

$A_n$ is generated by all $3$-cycles in $S_n$.

If $H\neq A_n$ and $|S_n:H|=2$ then at least one 3-cycle is not in $H.$

WLOG assume say $(123)\notin H$ so $H,(123)H,(132)H$ are 3 distinct cosets which is a contradiction to the fact that $H$ has index $2$.