I've said it before and I'll say it again:
Belief in Jesus (and God) gives you strength.
It gives you a sense of security, a sense of being loved, and a sense of morality.
Thanking Jesus because his teachings (yes, he was a real person, and he did teach some nice stuff, even for those of us who aren't Christians) and those teachings have affected their lives in a positive way. Whether you thank him as a Savior or simply as a groovy guy with groovy ideas, thank him if you feel his teachings have helped you.
Disclamer: General Wesc is not a Christian. He's an atheistic agnostic.