This article lays out some of the reasons why we think there might be one. Also, we've seen unification happen in the past. First, electricity was linked to magnetism by Oersted when he noticed that an electric current made a compass move (I believe he actually noticed this during an in-class demonstration). Until then, there was no reason to think that static electricity had anything to do with compass needles pointing north. Then, EM was united with the weak force at high energy back in the 70's. There are indications (more details in the article) that there are some strange coincidences in various values for strong, weak, and EM strengths/gauge groups that hint at the three forces becoming one at energies 10^15 times the mass of the proton.

An imperfect but perhaps useful analogy is the Higgs boson. Even though it had never been seen, a lot of stuff made a lot more sense if the Higgs existed, which is why we spent billions of dollars building the LHC, and indeed the Higgs was there.