Geegee, that's a very good question. In fact, I've debated it at length with sntjohnny on this board. He raised it in a thread in which he questioned the existence of Alexander the Great. That thread, along with many others, was destroyed by the Big Hack that gave rise to the present forum.
There are some people that we know nothing about, but we know for sure existed. For example, I know nothing about most of my ancestors, but they had to exist in order for me to be here. There are other people that we know a great deal about who may never have existed in the form depicted in their legends--Santa Claus, Moses, Jesus Christ. (Of these three, we probably know more real facts about the man who inspired Santa Claus.)
Historical figures such as Alexander the Great are in yet another category, because their existence is supported by a wide variety of historical artifacts--histories, place names, coins, buildings, statues, etc. Although most of the evidence (not all) came after Alexander's life, it is too difficult to account for the sheer amount of evidence without positing a real person.
The historicity of Jesus is a more troubling question, because the volume of information on him is staggering. However, his actual historical footprint is vastly smaller than Alexander's: basically a large set of gospels (including the non-orthodox ones) that were written decades after his life ended. There is no reasonable archeological evidence--no tomb, no cross, no statues, no independent records. No contemporaries wrote about him while he was alive. References to him by near-contemporaries such as Josephus and Tacitus are meagre and their authenticity questionable.
Worse yet, we have some negative evidence. We have similar quasi-fictional hagiographies of the deeds of other religious figures (e.g. Apollonius of Tyana), although there is greater recorded and archeological evidence that Apollonius existed. Somehow, the Jesus legend got folded in with the Greek mystery religions and legends of dying-rising godmen. So we can't really separate fact from fiction--except that non-Christians can more easily dismiss the accounts of miracles as being as apocryphal as those in similar hagiographies of those times.