Astronomers are pretty much convinced that there's a super-massive black hole at the center of the Milky Way Galaxy. (Just writing that sentence reminds me about how quickly opinions can change in science – years ago people doubted the existence of black holes, much less even imagined that they could come in a super massive variety.)
The reason for this belief is not theory. It's experimental data. Check out the AMAZING video of 15 years worth of stellar observations of the galactic core. (Much of the data comes from the new adaptive optical telescopes on Mt. Keck in Hawaii.)
Some of the stars in that video are O and A class main sequence stars – which means they're many time more massive than the Sun. And the galactic core is playing catch with those stars making them orbit with a period of 15 years or less.
There's no way to get that sort of orbital behavior without putting something very very massive at the core. Like something with a mass of millions of suns. And there's no way for something so massive to be able to exist in a normal space. The self-gravity of such an object is so strong that it would immediately collapse on itself and disappear into a singularity. A black hole.
Observational evidence of a black hole. I can't tell you how amazing that is to me.