Whether or not Jesus of Nazareth existed is very heavily debated. It is accepted by many that he did exist but that still leaves up for debate the idea that he was the son of God. Some believe he was the son of God, while others believe that he was a prophet of God. Still others believe he existed but was just a regular man. There are always going to be some that believe he is entirely made up as well.
There are some pieces of physical evidence, although they have never been authenticated. The Shroud or Turin (used to wrap Jesus' body at the time of his burial), the Sudarium of Oviedo (used to cover Jesus' face at his burial), and the Holy Grail (used to collect Jesus' blood) are all considered relics to some.
There are a number of texts outside of the bible that discuss Jesus as well. These texts are other gospels however; they were essentially rejected from being incorporated into the bible. They don't really provide any additional proof of Jesus' existence, but they do exist and are worthy of mentioning. They include: the Gospel of the Hebrews, the Gospel of Mary, the Infancy Gospels, the Gospel of Peter, the Unknown Berlin Gospel, the Naassene Fragment, the Secret Gospel of Mark the Egerton Gospel, the Oxyrhynchus Gospels, and the Fayyum Fragment.
Who Jesus was is of course also up for debate depending on what you believe. According to the writings of those around him, the apostles and other followers, Jesus was a preacher and healer. He was often at odds with Jewish authorities, and he was crucified under the leadership of the Roman prefect Pontius Pilate. His teachings became better known as the years passed until they were centralized in the bible. The rest as they say if history.
To read parts of the bible or to find out more about it here's a page dedicated to it.
http://www.bible.com/
