There's plenty of evidence that Jesus either wasn't the figure claimed of him in the Gospels, and some circumstantial evidence that he may not have existed at all, but was rather retroactively constructed after the religion ascribed to him had appeared, as a sort of founding father. The problem is that religion is not based on reason but faith, so that finding evidence against a particular belief will lead the believer either to deny the evidence or to rationalize it some way.
As an example, I point to Mormonism. There's an enormous amount of evidence that Mormonism is essentially a con game played up by Joseph Smith, with all his Egyptian hieroglyphs and such. But, you still have plenty of Mormons around who still believe it anyway.
Then there's Scientology. Some records have surfaced from that organization, in the past few years, that reveal that it's just a money making scheme. Scientology has aggressively tried to prevent this evidence from being revealed to the public, using legal and not-so-legal means to suppress it. Of course, it's too little too late. Nevertheless, Scientology is still going strong because a true believer (tm) doesn't care about evidence to the contrary.