"Why is it so hard for people to believe in Jesus Christ?"
If you ask me, because over the last 2000 years, so many things have been said and done about it. People have been murdered, abused, lies...
More than anything, I believe that there is a lot of confusion out there. Every church claims to be "the one who has it right" and people are just sick of it. Bad experiences, it is a choice of protection. I know many people who were raised in it and now run from it, because they were forced, never understood or were simply disappointed.
"Why do Christian's believe in something that they cannot prove?"
Believing in God and in anything invisible for me is based on personal experience that you cannot prove to somebody else. I don't want to call it a phenomenon, because that is a bit weird - :-) - but for me, I always like to tell people that I do not consider it is my business to persuade them that God/Jesus Christ exists. That is God's responsibility, not mine.
... :-D Man. One could write an entire series on this. I am sure it has been done maaany times, so... I will stop right here.