The evidence
I understand why people think it's a hoax, since when I started watching, some things about just didn't seem to ring true, and I was quite convinced that it was another mockumentary in the style of Forgotten Silver. But then as I looked into it, there really is quite bit of evidence confirming that events depicted in the movie really happened.
For one, we see film footage of a clearly much younger Thierry Guetta
Here jtbvt looks at one piece of archival footage filmed in 2000 and confirms that it was filmed some time before 2003, and probably at the time it is claimed to have been filmed at.
http://jbtvt.wordpress.com/2011/01/06/hello-world/
The article links to a post of someone confirming that Thierry Guetta did in fact own a vintage clothing shop
http://banksysforum.proboards.com/index.cgi?action=display&board=film&thread=1099&page=2#20583
You can use the Wayback Machine and confirm that on Space Invaders' website he thanks Thierry back in 2000
http://web.archive.org/web/20010602112345/www.space-invaders.com/hollywood.html
As someone else on the forum mentioned, there is a Trailer for the movie Life Remote Control, posted on youtube in 2006
http://www.youtube.com/watch?v=OiLaaZjcgWc
There is news coverage of the Banksy stunt at Disneyland from 2006
http://news.bbc.co.uk/2/hi/5335400.stm
There are articles on the Mr Brainwash show from the LA Weekly in 2008. This article confirms that he in fact broke his foot.
http://www.laweekly.com/2008-06-12/art-books/mr-brainwash-bombs-l-a/
Sparrow Songs looked through much of Thierry's old footage and can confirm it is real.
http://sparrowsongs.wordpress.com/2010/04/22/thierry-guetta-is-real/
Shepard Fairey confirms that the movie is not a hoax and explains that he want to get access to all the footage of himself that Thierry filmed
http://www.vanityfair.com/online/oscars/2010/04/shepard-fairey-swears-to-god-the-banksy-movie-is-not-a-hoax.html
Feel free to mention any other evidence you can find. There might be more going on behind the scenes about Banksy helping to transform this eccentric frenchman into a popular artist, but Thierry is definitely a real person and details about his life and the events depicted can be confirmed.