"We" may be sure of Jesus' historical manifestation, through faith, but there is no empirical evidence of His existence.
The primary "proof" of Jesus' existence, cited by many Christian theologians in their battle to rationalize their faith, is this passage from Josephus, in "The Antiquities of the Jews":
"Now, there was about this time, Jesus, a wise man, if it be lawful to call him a man, for he was a doer of wonderful works--a teacher of such men as receive the truth with pleasure. He drew over to him both many of the Jews, and many of the Gentiles. He was [the] Christ; and when Pilate, at the suggestion of the principal men amongst us, had condemned him to the cross, those that loved him at first did not forsake him, for he appeared to them alive again the third day, as the divine prophets had foretold these and ten thousand other wonderful things concerning him; and the tribe of Christians, so named for him are not extinct to this day."
There are a number of issues with this. First, the language used in the pre-translated text is completely out of whack with that used in the rest of the text, and is more comparable with the language of the 7th century than that of the era during which "The Antiquities" was written (Approximately 95 C.E.) ... In addition, there are a few blatent errors in logic. Whoever forged this passage obviously had very little historical knowledge. Josephus was a Jew, who never went to Christianity, and was quite devoted to his faith, and as such, would never have called Jesus "Christ". There was most definitely not a "tribe" of Christians in Josephus' era, and even the words "To this day" imply that the passage was added much later.
Around 117 C.E., the Roman writer Tacitus claimed that "Christ" was executed on Pontius Pilate. This is likely where the myth of the execution began. Nowhere in his writings, though, does he mention the name "Jesus", and it is a far more logical assertion that he was referring to another, more local "Christ" (which was a common noun, referring to a messiah)... There are various recordings of a "Christus", who was most definitely
not Jesus. Tacitus also speaks of a band of Jews, following "Christ", who were tortured and executed by Roman emperor Nero. There is actually no historical justification for any of the Christs having been in Rome during that era, though... especially not leading a "great crowd" of followers, as Tacitus puts it, and so it is quite possible that he was just confused over the whole issue.
There are various other pseudo-arguments for the existence of Jesus. Another phrase from Josephus states that a man named James, a supposed brother of Jesus, was stoned to death by sentence of court. This event in particular is not mentioned in the Bible, and is likely a confusion of, or a later augmentation of an older text explaining the death of a man named James, who may have been mentioned by Paul in Acts, in a riot. Hegesippus wrote a more believable account of this around 170 C.E., but certain details of that text, as well, appear rather altered.
Historians have not been able to come up with anything justifying the assertion that a man named Jesus, a spiritual leader, existed during the early first century. We certainly have accounts of the myths inspired by his assumed existence, but there are no personal witnisses to his existence outside of the Bible. Philo of Alexandria wrote an extensive examination of first-century Palestine, and did not once mention a man named Jesus. Throughout the years, many, many historians wrote about that geographical and chronological pin-point, and there is not even one mention of a man named Jesus.
There is no reason to assume that there was any real world instantiation of Jesus. Do we assume that Dionysus or Attis had real world counter-parts? The story is the same... why should the logic change?
If you are interested in getting a more extensive look in to this, you can check out some literature by G. A. Wells. I consider him to be very even-minded, and unbiased, but sometimes my... fact-dependancy... you know... pulls me to one side of the bill. You could also back-purchase this edition of "Freethought Today", and check out Dan Barker's article on this same subject. I feel that the piece sums up the argument against the myth of Christ's existence very, very well... Much better than mine, and it also has a very useful literature reference for extended reading. I used the article to refresh my memory on certain bits, as that I could thoroughly pose this argument.
Cited: Dan Barker "Debunking the Historical Jesus" Freethought Today March 2006