Let’s start with one of the most glaring ones. The religious movement Jesus spawned began after he died. This is unique among all other Messiah movements from 1 century before and after he died.
There are about 10 comparator cases to understand the cultural context. In every case that a Messiah figured died, this was taken as de facto evidence that the person was not the Messiah. In some cases, the religious group disbanded. In other cases, they moved on to consider a family member as the Messiah. In the case of Jesus’s death, they did not decide to call Jesus’s brother the Messiah. Instead, the disbanded.
It is only months later that the early Church forms. Christianity forms without Jesus on earth in bodily form (if we are to deny the Resurrection). This appears to be unique among world religions.
Islam did not form after its Prophet lived, but while he lived. Mormonism, Scientology, Buddhism, Sai Baba, etc. all formed while their key leaders lived, with their dedicated effort for decades. In contrast, Christianity forms after Jesus died, after the Jesus movement (which was merely a disorganized following of a dead rabbi) disbanded. This may be unique among world religions. It raises many questions.
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Everyone else understood that a dead Messiah was not the true Messiah. This is why they disbanded. What was different for the early church, such that all 11 disciples returned to reconstitute the movement?Why did they come back together after disbanding?
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Why didn’t they choose to replace Jesus with one of his family? What was so categorically different about him that no one ever even considered this?
I could go on, but this is just one historical puzzle, arising from just one of many stark dis-analogies with other religions. If we trust what the disciples said, they saw the risen Jesus, and this solves the puzzle. If we distrust them, we are stuck with a yet unanswered puzzle. Perhaps scholars will come up with something someday, but right now non-Christian scholars haven’t found anything plausible to explain this anomaly.