Russ,
I think your conviction is understandable, but also too strong.
As Chronos said, we have observed curious things in the universe -- immense sources of energy, jets, accretion discs, large gravitational effects on other objects, even gravitational lensing -- which can only be understood as the consequences of extremely massive (and dense) objects.
Currently, the only theoretical candidate that we have to explain these observations is the black hole, as described by the general theory of relativity.
If you take the definition of "black hole" as "super dense body," then yes, there is observational proof that black holes exist. If you take the definition of "black hole" to mean the narrower "body as described by general relativity," then their existence is, at best, plausible. The actual nature of these super dense bodies could be radically different than anything we think we know today.
- Warren