What is the proof that covariance matrices are always semi-definite?

A symmetric matrix $C$ of size $n\times n$ is semi-definite if and only if $u^tCu\geqslant0$ for every $n\times1$ (column) vector $u$, where $u^t$ is the $1\times n$ transposed (line) vector. If $C$ is a covariance matrix in the sense that $C=\mathrm E(XX^t)$ for some $n\times 1$ random vector $X$, then the linearity of the expectation yields that $u^tCu=\mathrm E(Z_u^2)$, where $Z_u=u^tX$ is a real valued random variable, in particular $u^tCu\geqslant0$ for every $u$.

If $C=\mathrm E(XY^t)$ for two centered random vectors $X$ and $Y$, then $u^tCu=\mathrm E(Z_uT_u)$ where $Z_u=u^tX$ and $T_u=u^tY$ are two real valued centered random variables. Thus, there is no reason to expect that $u^tCu\geqslant0$ for every $u$ (and, indeed, $Y=-X$ provides a counterexample).

Covariance matrix C is calculated by the formula, $$ \mathbf{C} \triangleq E\{(\mathbf{x}-\bar{\mathbf{x}})(\mathbf{x}-\bar{\mathbf{x}})^T\}. $$ For an arbitrary real vector u, we can write, $$ \begin{array}{rcl} \mathbf{u}^T\mathbf{C}\mathbf{u} & = & \mathbf{u}^TE\{(\mathbf{x}-\bar{\mathbf{x}})(\mathbf{x}-\bar{\mathbf{x}})^T\}\mathbf{u} \\ & = & E\{\mathbf{u}^T(\mathbf{x}-\bar{\mathbf{x}})(\mathbf{x}-\bar{\mathbf{x}})^T\mathbf{u}\} \\ & = & E\{s^2\} \\ & = & \sigma_s^2. \\ \end{array} $$ Where $\sigma_s$ is the variance of the zero-mean scalar random variable $s$, and it is a scalar real number whose value equals to, $$ \sigma_s = \mathbf{u}^T(\mathbf{x}-\bar{\mathbf{x}}) = (\mathbf{x}-\bar{\mathbf{x}})^T\mathbf{u}. $$ Square of any real number is equal to or greater than zero. That is, $$ \sigma_s^2 \ge 0. $$ Thus, $$ \mathbf{u}^T\mathbf{C}\mathbf{u} = \sigma_s^2 \ge 0. $$ Which implies that covariance matrix of any real random vector is always semi-definite.