(1) I understand that if I have a non-empty set $A$, choosing an element $\alpha$ from $A$ does not require the Axiom of Choice.
(2) I also understand that if I have a finite collection of non-empty sets, I can iteratively apply the fact that I can choose an element from each non-empty set to construct a choice function.
But then, what bothers me is the following line of thought:
All I used in (1) and (2) above is the non-emptiness of the sets to show that I can pick an arbitrary element from the set. I do not care which element I am picking from the set; as long as the set is non-empty, I can always pick any element out of it. Then, why can't I say the same thing even if I have an inifinite collection of sets? i.e define my choice function as an ordered pair where the first pair is the set and the second pair is some arbitrary element in the set.
Please help me out :)!
There is nothing to stop you from picking all of those elements. But how do you know that there is a set containing the elements you picked and only those? If you pick two elements $a,b$ the existence of the set $\{a,b\}$ is guaranteed by the Axiom of Pairing; for three elements $a,b,c$ the existence of the set $\{a,b,c\}$ follows from the Axiom of Pairing and the Axiom of Union. But that only works for finite sets; there is no axiom saying that an arbitrary multitude of elements $a,b,c,\dots$ can be collected into a set $\{a,b,c,\dots\}$. Intuitively, that set ought to exist, and that is the intuitive justification for the Axiom of Choice.