While we have never found any documents that were written by Jesus, undoubtedly He was a learned man - the New Testament accounts of his Jewish scholarship bear ample witness that He was literate. As a subject of the Roman empire, He would have been subject to the tax laws and required to appear at the tax office just like Joseph and Mary were called down to Bethlehem at the time of His birth - this, in addition to His occupation as a carpenter prior to beginning His ministry, indicate that He would have left behind many day-to-day documents (entries in tax logs, receipts, etc). Perhaps someday someone will find a tax roll with His name written on it.
During the time of Jesus, it was a custom for Jews to write prayers on small strips of parchment or silver, and put them into jewelry etc for a friend or loved one - an example of this is discussed in a recent issue of Biblical Archaeology magazine. Such small documents were also enclosed in small boxes for use in worship, some that were worn, some that were mounted on doorways etc (like the modern day tefillim and mezuzah). Students of the scribes and synagogue teachers also performed much rote copywork, and provided copies of the Bible books etc to their families. Finally, the Jews of the time often had prayers inscribed onto stone, furniture etc - for example, if you visit the Wailing Wall today you can see prayers carved into the huge blocks that were once part of King Solomon's temple.
With these examples in mind, it is highly probable that Jesus left behind many traces of His existence - as a carpenter and a learned man, He would have had ample opportunity to make furniture, jewelry boxes, the enclosures for the small scrolls - examples could be in museums today without us even knowing. Perhaps someday something will be found - in the last century, we have found the Dead Sea scrolls, the ossuary of Caiaphas, possibly the ossuary of St. James (brother of Jesus) - so anything is possible even at this late date.
We have to remember though, that Jesus was a persecuted and hated man at the end of His life. The Sanhedrin had Him executed, and both they and the Romans wanted to prevent a cult from forming around Him after His death and Resurrection. Sadly the ancient folks had a systematic process for eliminating mention of such troublesome individuals, they would destroy documents, remove names from inscriptions, destroy statues, build churches to their own gods on top of sites holy to others - few stones would have been left unturned by the authorities of the day to suppress Jesus' message and followers. Anything that the Jewish priests might have gathered into the Temple would likely have been destroyed around 70 AD when the Romans turned the Temple into a pile of rubble.
It is possible that some relics could have survived deep underneath Temple Mount, when the Crusaders took over Jerusalem 1,000 years after Christ they excavated and built on the site, and some Temple-period works were still intact below the surface. Sadly the Muslims control Temple Mount today, and they have been very busy destroying many important areas to expand their mosques - for example, the underground area known as Solomon's Stables has been converted into a mosque. They refuse to cooperate with Jewish and Christian authorities and archaeologists, so the extent of the damage remains unknown.
I cannot tell you of a single word that Jesus wrote on a document that you can see for yourself, but I can tell you with 100% sincerity that when I finally "got it" and accepted Him for real, He engraved upon my heart the image of the life I should live and the kind of man that I should be.
I just wish I was man enough to fulfill the vision that He has for me. I fail frequently, and often spectacularly, but I keep on plugging. He has given me one heck of a target to shoot for, I just have to keep working on my marksmanship
PS - As far as churches, organized religion etc - no matter what style of coaching or support a man prefers, in the end only he himself is setting the sights and pulling the trigger. Set your sights on the right target, keep your focus, and don't worry about the rest. People may disagree with your technique or your style, but if YOU hit that target - they can't argue with results! :-laf :-laf I have been a Baptist all my life, used to tease my Granny and preacher by asking them if they would be disappointed when they got to Heaven and found a bunch of other people there :-laf :-laf They told me, "I don't care what path they take, as long as they arrive... . "
Attention: TDR Forum Junkies 
Sorry buddy, guess I will have to be responsible for the consequences of MY decisions and actions. :--) 
