To imagine finding the eigenset, just ask, could I draw a line through 0,0 such that any point I put on it would stay on it after the matrix acted?
Rotations have eigenvectors: a 2D rotation has two complex eigenvectors, a 3D rotation has one real and two complex eigenvectors, ...
Maybe I'm being pedantic, but rotation matrices have eigenvectors and eigenvalues, but the eigenvalues are imaginary because imaginary numbers are rotations in the complex plane.
It's exactly like saying x^2 = -1 has no solutions: It has two solutions, like any other quadratic, but neither of them are real.
In three dimensions, rotation matrices have three eigenvalues, one of them being 1, and the eigenvector corresponding to that eigenvalue is, naturally, the rotation axis.