For example, why do peacock females choose males with the biggest tail? If there is no advantage in such tail.
There are two common explanations both are difficult to demonstrate. I personally favor the former but I will not claim it is the only explanation.
selection starts as either a random occurrence or as some initially beneficial trait (a slight increase in tail length may have been beneficial originally) Then runaway selection takes over. Any increase also causes increased attraction because the evolved behavior of the desire in the females only functions as bigger is more attractive(or whatever=more attractive). This pushes further and further into absurdity becasue there is not behavioral regulation to say enough is enough. So any increase in the males increases attractiveness meaning any individual male with less can't reproduce in the current population of females no matter how beneficial to the individual male survival. Additionally no female will develop a favoring of smaller tail feathers becasue her smaller tailed offspring will not be able to find mates for the same reason. A positive feedback loop like this won't stop until it hits a point where the cost of tailfeather is more than the advantage of increased mating becasue the individual never lives long enough to mate.
By carrying a handicap the organisms shows it can withstand a greater burden and thus must be better.