Highly collimated, magnetized outflows of relativistic particles (i.e., jets) emanating from galactic nuclei are widely thought to be powered by accretion onto a super-massive black hole (SMBH) and are key to our understanding of the interaction and co-evolution between the SMBH and its environment. The SMBH in our Galaxy, commonly known as Sagittarius A* (Sgr A*), is believed to launch jets for strong physical reasons. However, despite decades of search, the putative jets have not been established. After a brief review of previously suggested jet candidates, I will present new evidence for the existence of a parsec-scale jet, based on recent radio, infrared and X-ray observations of the Galactic Center.