Suppose that $U=(U_1,\ldots,U_n)$ has the uniform distribution on the unit sphere $S_{n-1}=\{x\in\mathbb R^n:\|x\|_2=1\}$. I'm trying to understand the marginal distributions of individual components of the vector $U$, say, without loss of generality, $U_1$.
So far, this is what I have: I know that $U$ is equal in distribution to $Z/\|Z\|_2$, where $Z$ is an $n$-dimensional standard gaussian vector. Thus, $U_1$ is equal in distribution to $Z_1/\|Z\|_2$. Then, we could in principle compute the distribution of $U_1$ as $$P[U_1\leq t]=P\big[Z_1\leq\|Z\|_2t\big],$$ but the right-hand side above using conventional means is horribly messy (i.e., nested integrals over the set $[x_1\leq\|x\|t]$).
Is there a more practical/intuitive way of computing this distribution?