Principal component analysis of cylindrical neighborhoods is proposed to study the local geometry of embedded Riemannian manifolds. At every generic point and scale, a high-dimensional cylinder orthogonal to the tangent space at the point cuts out a path-connected patch whose point-set distribution in ambient space encodes the intrinsic and extrinsic curvature. The covariance matrix of the points from that neighborhood has eigenvectors whose scale limit tends to the Frenet-Serret frame for curves, and to what we call the Ricci-Weingarten principal directions for submanifolds. More importantly, the limit of differences and products of eigenvalues can be used to recover curvature information at the point. The formula for hypersurfaces in terms of principal curvatures is particularly simple and plays a crucial role in the study of higher-codimension cases.