As far as I know, there is no direct evidence for Jesus’s historical existence. However, somewhat more can be gleaned from the nature of the Gospels, I think, than most skeptics generally assume.
The Classical world did not have much realistic prose fiction. Stories about the mythic figures to whom Jesus is often compared, such as Bacchus and Osiris and Mithras, all happened “once upon a time,” outside of secular history. The closest approach to an ancient historical novel, the Aeneid, is a poem about a royal exile who lived in the misty past. The Gospels, on the other hand, are rather flat prose accounts about the life of a carpenter who was born in the reign of Augustus Caesar and executed about 30 years later by a Roman official named Pontius Pilate. When people in the Classical world wrote fiction (that is, simply made stuff up from nothing), they did not make up stuff quite this boring.
Had Jesus been a wholly fictional figure, we’d expect to see tales in the Gospels concerning his battles against great monsters in the distant past, his epic journeys to fictional lands beyond the map, and so on.
The prosaic nature of Gospel prose writing argues for at least some sliver of historicity concerning Jesus, or a figure very much like him. As I noted in another post on the Did Jesus Exist thread, there were many other “kings” of the Jews executed around this time; it seems to have been a fairly common phenomena, a Jewish nationalistic response to Roman occupation. While there may not have been an individual named Yeshua (Jesus), the Gospel stories are almost certainly rooted in these historical phenomena and individuals. They aren’t only just-so stories; rather, they are just-so stories constructed around real political events.
However, one shouldn’t read too much into this speculation. It is merely deduction.