> Activation functions introduce nonlinearity so that deep learning methods can hopefully learn things linear methods can't.
I would just like to clarify: deep learning methods definitely DO learn things that linear methods can't.
Using linear functions, no matter how many layers, essentially boils down to the "perceptron" architecture. You can Google it and they will be mostly talking about it's limitations (for instance, it's famously unable to learn XOR, Google "perceptron XOR", essentially the issue is that XOR is not linearly separable, so it can only be expressed as a nonlinear function).
You can give a simple proof for this. If you examine what a neural network layer (without activation function) does, in matrix terms. You take the input vector X (1xn), the layer weights W (nxm), and the output vector O (1xm).
Then computing the layer output is simply O = WX.
Now we can envision what happens with two layers. W (mxn) and V(mxn). The output of running two layers then becomes:
O = V(WX)
However, matrix multiplication is associative:
O = V(WX) = (VW)X, and VW is just a matrix
So for every 2 layer linear neural network there is a 1 layer neural network that gives the exact same result. So there's no reason to have 2 layers.
A famous result proving this is the "deep" networks (with activation funcions) are universal function approximators (explained here: [1]). Note that this "deep" should be understood in the 1995 meaning of deep neural networks, which is essentially "at least 2 layers", and usually "exactly 2 layers", not the 2010+ one where one means 10 to 200 layer deep networks.
[1] http://neuralnetworksanddeeplearning.com/chap4.html