解$: (1)① S_{2} - S_{1}=(1 + 2\sqrt {2})^2-(1 + \sqrt {2})^2$
$=(1 + 4\sqrt {2} + 8)-(1 + 2\sqrt {2} + 2)=9 + 4\sqrt {2}-3 - 2\sqrt {2}=6 + 2\sqrt {2}$
$② S_{3} - S_{2}=(1 + 3\sqrt {2})^2-(1 + 2\sqrt {2})^2$
$=(1 + 6\sqrt {2} + 18)-(1 + 4\sqrt {2} + 8)=19 + 6\sqrt {2}-9 - 4\sqrt {2}=10 + 2\sqrt {2}$
$③ S_{4} - S_{3}=(1 + 4\sqrt {2})^2-(1 + 3\sqrt {2})^2$
$=(1 + 8\sqrt {2} + 32)-(1 + 6\sqrt {2} + 18)=33 + 8\sqrt {2}-19 - 6\sqrt {2}=14 + 2\sqrt {2}$
$(2)$猜想$S_{n+1}-S_{n}=4n + 2 + 2\sqrt {2},$理由:
$S_{n}=(1 + n\sqrt {2})^2=2n^2 + 2\sqrt {2}n + 1,$
$S_{n+1}=(1 + (n+1)\sqrt {2})^2=2(n+1)^2 + 2\sqrt {2}(n+1)+1=2n^2 + 4n + 2 + 2\sqrt {2}n + 2\sqrt {2} + 1,$
则$S_{n+1}-S_{n}=(2n^2 + 4n + 2 + 2\sqrt {2}n + 2\sqrt {2} + 1)-(2n^2 + 2\sqrt {2}n + 1)=4n + 2 + 2\sqrt {2}$