Detecting anomalous traffic is a crucial part of managing IP networks. In recent years, network-wide anomaly detection based on Principal Component Analysis (PCA) has emerged as a powerful method for detecting a wide variety of anomalies. We show that tuning PCA to operate effectively in practice is difficult and requires more robust techniques than have been presented thus far. We analyze a week of network-wide traffic measurements from two IP backbones (Abilene and Geant) across three different traffic aggregations (ingress routers, OD flows, and input links), and conduct a detailed inspection of the feature time series for each suspected anomaly. Our study identifies and evaluates four main challenges of using PCA to detect traffic anomalies: (i) the false positive rate is very sensitive to small differences in the number of principal components in the normal subspace, (ii) the effectiveness of PCA is sensitive to the level of aggregation of the traffic measurements, (iii) a large anomaly may in advertently pollute the normal subspace, (iv) correctly identifying which flow triggered the anomaly detector is an inherently challenging problem.