Doob exposure martingale ($M_i=\mathbb{E}[f\mid Z_1,\dots ,Z_i]$)

Expose independent coordinates successively and take the conditional mean of a function after each exposure. These conditional means form a martingale from $\mathbb{E}f$ to $f$. A coordinate oscillation bound $c_i$ gives a conditional interval of length $c_i$ for the corresponding increment, by coupling the unexposed coordinates. Applying the Hoeffding lemma to these conditional ranges proves the McDiarmid inequality.