Here's a slightly different way of proving it which I found a little more intuitive (I'm not sure it's possible to prove the statement for real numbers using the Pigeonhole principle). I show this for the natural numbers, but the same principle (without the wooden blocks analogy) can be applied to the integers. This explanation comes from my notes.
Let $A$ be a set with $n$ members (which are all natural numbers). We can label
the members of $A$ as $a_1, a_2, ..., a_n$. Let us partition the elements of $A$
into $n$ boxes (this isn't hard, as we have $n$ elements, so we just put one
element in each box). How does this help us? Sure, we have technically
applied the pigeonhole principle (as we have placed $n$ objects into $n$ boxes,
such that by the Pigeonhole Principle there is at least $1$ element in each box - not particularly
helpful) but we haven't proven our statement. To actually prove the statement,
we can combine this partitioning of our objects with a different way of
considering them; let us combine them into one big number. We know that the
total value of all the elements in our set is
\begin{equation}
\sum_{1 \leqq i \leqq n} a_i
\end{equation}
Now we return to nursery! You have probably played with wooden blocks, and seen
how if we start with a single wooden block, we can say this represents the
number $1$. If we have two equally shaped wooden blocks, we can say this
represents $2$, and so on. In the general case if we have $y$
wooden blocks, we can build the number $y$. The reverse also applies; by this
line of "reasoning" we can split the number $\sum_{1 \leqq i \leqq n} a_i$
into $\sum_{1 \leqq i \leqq n} a_i$ wooden blocks. If we then partition these
blocks into $n$ sets, for any possible partitioning we will have at
least $x$ objects in one set, where
\begin{equation}
x =
\left\lceil
\frac{\sum_{1 \leqq i \leqq n} a_i}{n}
\right\rceil
\end{equation}
Or, alternatively, we will have a number which is at least as big as $x$. We
also know that the earlier partition of $a_1, a_2, ..., a_n$ into $n$ sets will
satisfy this property. Therefore, there exists at least one $k$ such that
\begin{align}
a_k
&\geqq
\left\lceil
\frac{\sum_{1 \leqq i \leqq n} a_i}{n}
\right\rceil \\
&\geqq
\frac{\sum_{1 \leqq i \leqq n} a_i}{n} \tag{A} \label{the average of set A}
\end{align}
Note that the expression Equation $\ref{the average of set A}$ is equivalent (by definition) to
the average of the elements of $A$, and thus there exists an element greater
than or equal to the average.