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Not a fan of worm-holes or black-holes, as I don't believe in the theory,
Wormholes don't exist in nature, and most likely cannot be formed artificially either. But the existence of black holes in nature is pretty much indisputable now. There are many places on the sky that I can point to and say "there is a black hole there, this is how much it weighs, and here is how we know."
Some of the best evidence for black holes are measurements of their masses based on how quickly other objects are orbiting around them, and how compact the region that mass is contained within. For example, Sagittarius A* at the center of our galaxy has about 4 million times the mass of the Sun, and it lies within a space smaller than the orbit of Mercury. This is a black hole. If we proposed that it was a cluster of neutron stars instead, they would immediately collapse into a black hole anyway. And if it was some other exotic object with a solid surface rather than a black hole, then we would see radiation emitted from matter hitting that surface. But we don't -- it is vanishing through an event horizon.
Another piece of evidence comes from gravitational waves detected from pairs of them merging together. The frequency of the waves tells us how quickly they were orbiting each other before merging. The more massive and compact the objects, the closer and more quickly they can orbit before colliding, and the higher the peak frequency of gravitational waves they emit. Events have been detected where the peak frequency requires the objects be even more compact than neutron stars, and can only be black holes. The way the waves die down in amplitude after the merger is also exactly consistent with what general relativity predicts for merging black holes and how the resulting event horizon "rings" as it settles down into its final smooth shape.
Sometime very soon we also anticipate the first images to be released from the Event Horizon Telescope
, which will be the first direct images of a black hole with enough resolution to show the shadow of its event horizon.