Eddie,
. This is a very valid question. I think that people come to their beliefs in different ways. For some, it is the weight of evidence, such as fulfillment of prophecies, literally hundreds of prophecies, not only from the Old and New Testament, but all religions of the world.
. For others, it was simply being in the presence of Bahaāuāllah. Many of those who attained His presence stood in no need of further proof. There were also miracles, but like Jesus, He always said not to speak of them.
. For people like me, it is evident in the words themselves, at least at this point in my life. The prophecies as well, were very important for me. Its like both sides of my brain needed to be involved to cross check the other.
. Also, from His prison cell He wrote to various leaders and kings, warning them not to turn away from God, and foretelling their downfall. In each case, He was correct, and this alone convinced many people, for these kings were all very powerful and seemingly impossible that they would fall, such as Napoleon III, Sultan Abdul Aziz, Czar Alexander, Kaiser Wilhelm, the Shah. The dramatic turn of events has baffled historians even to this day, yet all had one thing in common. Each had received a letter from Bahaāuāllah while yet a prisoner.