We extend the concept of eigenvector centrality to multiplex networks, and introduce several alternative parameters that quantify the importance of nodes in a multi-layered networked system, including the definition of vectorial-type centralities. In addition, we rigorously show that, under reasonable conditions, such centrality measures exist and are unique. Computer experiments and simulations demonstrate that the proposed measures provide substantially different results when applied to the same multiplex structure, and highlight the non-trivial relationships between the different measures of centrality introduced.