So we're seeing another "Jesus is a myth!" argument over on /r/atheist and I'm sorry for bothering you guys, but apparently my sacred on is at stake if I don't post here.
The standing claim seems to be that Roman documentation of Jewish Messiahs simply didn't exist dating back to the BCE 0 era.
Wikipedia has some documentation: http://en.wikipedia.org/wiki/Jewish_Messiah_claimants#Before_the_Common_Era
But I'm genuinely curious to know whether these examples have been refuted/recanted and whether there really is a compelling argument against the existence of a Jewish Messiah-claimant during this era.
Start by going through our archives, this is a pretty popular question and has been answered several times.
http://www.reddit.com/r/AskHistorians/wiki/faq/religion#wiki_did_jesus_exist.3F
Short answer: Nearly all historians accept that Jesus existed, as Josephus, Pliny, and Tacitus all reference him, and those references are outlined in most of the threads I just linked you to. So whoever is claiming that Roman documentation doesn't exist is pretty much full of it.