By definition of the differential ##df##, it holds that
$$
df(\dot\gamma) = \frac{df}{ds}
$$
where ##\dot\gamma## is the tangent vector of a curve ##\gamma## parametrised by ##s##. In a coordinate system representation, this expression can be rewritten
$$
df(\dot x^\mu \partial_\mu) = \dot x^\mu df(\partial_\mu) = \frac{df}{ds} = \frac{\partial f}{\partial x^\mu} \frac{dx^\mu}{ds}
$$
using the linear property of a dual vector and the chain rule, respectively. This is satisfied for all tangent vectors if and only if
$$
df(\partial_\mu) = \frac{\partial f}{\partial x^\mu}.
$$
If you let ##f## be your coordinate function ##x^\nu##, you now obtain
$$
dx^\nu(\partial_\nu) = \frac{\partial x^\nu}{\partial x^\mu} = \delta^\nu_\mu.
$$
andrewkirk said:
I think those equations only hold if the coordinate system is orthonormal.
No, the result is completely general and an effect of how the differential is defined. I would not call ##g(\partial_\mu,\partial_\nu) = g_{\mu\nu}## a result as much as the definition of the components ##g_{\mu\nu}##. In contrast, the result above is general and does not even require a metric to be well defined (the natural product is between tangent vector and dual vectors, the metric is necessary only to define a product between vectors of the same type).
I find that it sometimes helps to go back to the Euclidean case. In the Euclidean case you can define two bases ##\vec E^\mu = \partial \vec x/\partial x^\mu## and ##\vec E_\mu = \nabla x^\mu##, respectively. These are the equivalents of ##\partial_\mu## and ##dx^\mu##, respectively (heuristically, essentially just remove the position vector). Each of these sets of vectors will generally not be orthonormal among themselves (in curvilinear coordinates), however it will still hold that
$$
\vec E^\nu\cdot \vec E_\mu = \frac{\partial x^\nu}{\partial y^i} \vec e_i \cdot \vec e_j \frac{\partial y^j}{\partial x^\mu} = \frac{\partial x^\nu}{\partial y^i} \frac{\partial y^i}{\partial x^\mu} = \frac{\partial x^\nu}{\partial x^\mu} = \delta^\nu_\mu,
$$
where ##\vec E^\nu## and ##\vec E_\mu## have been written down in component form in a Cartesian coordinate system ##y^i##.