Here is a somewhat geometric way to think about it.
Suppose that X is an equidimensional analytic space without embedded points and E is coherent with support of dimension less than dimension of X. Then it is clear that $\mathcal{Ext}^0(\mathcal{E}, \mathcal{O}) = 0$ because this is roughly what it means not to have embedded points.
Now suppose that the support of $\mathcal{E}$ has dimension 2 less than that of X and that X is a normal analytic space. Then we can find a local nonzero function $f$ such that $f$ acts as zero on $\mathcal{E}$. Consider the short exact sequence $0 \to \mathcal{O} \to \mathcal{O} \to \mathcal{O}/f\mathcal{O} \to 0$ and apply the long exact sequence of $\mathcal{Ext}^*(\mathcal{E}, -)$. Then we see that to show that $\mathcal{Ext}^1(\mathcal{E}, \mathcal{O}) = 0$ it suffices to show that $\mathcal{Ext}^0(\mathcal{E}, \mathcal{O}/f\mathcal{O}) = 0$ (hint: use $f$ acts as zero on $\mathcal{E}$). This follows because the hypersurface defined by $f$ has no embedded points as $X$ was assumed normal and we can use the result from the previous paragraph. In fact, we could have gotten away with assuming juyst that $X$ is $(S_2)$ and equidimensional.
To do this argument in general one works with analytic equidimensional CM spaces which works well as an equidimensional hypersurface in a CM space is again CM. Of course a complex manifold is CM analytic space. Hope this helps.