Before we apply PCA, we often normalize our data so that each feature has mean 0 and variance 1. We do this by computing the mean and standard deviation of each feature and then for each $x$ in our data, we subtract the mean and divide by the standard deviation.

To select the principal component of $x$, we need to find the unit vector $u$ that maximizes the variance of the data when projected onto $u$. The greater the projection of $x$ onto $u$, the higher the variance, meaning more information is captured in that direction.

We can now use Lagrange optimization to find the unit vector $u$ that maximizes the variance. And it turns out the variance is maximized when $u$ is the eigenvector of our symmetric matrix $\Sigma$.

However, we don't know which $\lambda$ to choose if there are multiple that satisfy this equation.

But we can show we get the maximum variance when we choose the largest eigenvalue $\lambda$.

Therefore, to maximize the variance, we need to choose the eigenvector with the largest eigenvalue.

In practice, we decompose $\Sigma$ into its eigenvalues and eigenvectors using singular value decomposition and then choose the top $k$ eigenvectors with the largest eigenvalues.