Sometimes someone I know will express disbelief about the existence of the historical Jesus, wondering if the church has invented him through the gospels. One thing they don't usually realize is how little evidence there is for the existence of anyone in the ancient world, especially those people not in some political power or not the creators of still existing works.
Today I saw a post at Professor Mark Goodacre's NT Blog - How would Jesus have proved his own existence? - in which he mentions Bart Ehrman's book, Did Jesus Exist?. Mark also links to a past podcast he did on this which I found really interesting - NT Pod 47: Did Jesus Exist?
For those interested, there's even a Wikipedia page on the subject.