Besides Josephus, mentioned by jstfishinman, there is the indirect proof that Christianity spread so quickly in the first and second centuries.
I suppose it's possible for a conspiracy to create a religion and spread it, pretending their was a founder many years earlier, but up until 70 AD, new converts had plenty of people to ask if Jesus was real or not, and all those people were in one place. That's only about 35 years after the crucifixion. By then, Christianity had spread fairly wide around the Eastern Mediterranean. If Jesus had not been real, I'm sure someone would've said something and spread the word that this new cult is a bunch of liars.
The teachings of Jesus are profound and counter-intuitive. They break out of the mold of common thinking with things like loving your neighbor and even your enemy, turning the other cheek, or walking the extra mile (for the Roman soldier). He also said that we can do the miracles he did and even greater. I've found that last one to be true. This by itself does not prove Jesus existed, but it doesn't hurt.
The problem most non-Christians have with Christianity is the ego of the pseudo-Christians. We've had 2000 years of that, and a lot of dead bodies left in its wake.
But now we have the freedom to question the dogma and get back to the truth that lets even us walk on water, just like Peter did, even if only for a moment.