解:$(1)$
$\begin {aligned}(2n)^2+(2n + 2)^2&=4n^2+4n^2+8n + 4\\&=8n^2+8n + 4\\&=4(2n^2+2n + 1)\\&=4[2(n^2+n)+1]\end {aligned}$
$∵n^2+n$是整数,$∴2(n^2+n)+1$是奇数,得证
(2) 设这三个数是$2n$,$2n + 2$,$2n + 4$,
其平方和是$12n^2+24n + 20 = 4(3n^2+6n + 5)$,是$4$的倍数