Jason and Balthazar both have posted neato posts on working with Jesus from a magical stand point. I am slowly comming around, though I am not there yet. One thing that I will say for Jesus, and folks like Him.. Mary, The Buddhas, Bodhisattvas, Mahasiddhas, Al Khidir, etc. is that generally, they don't care who you are. At all.
Some Saints may perhaps be hesitant to answer a Pagan's prayer, though more often it's that Pagans don't especially feel comfortable working with them, but Jesus and Mary both do not really care that you are Pagan.. or Jewish.. or whatever. They just want you to be happy and well taken care of. In keeping with the party line, most folks who have reached that level of apotheosis/Buddhahood/Immortality don't see the hard religious/belief based lines that we do, but they will communicate through them so that we have a context into what they want us to know.
It is always good to remember that there are Beings out there that care about us.. just because. No strings. I am slowly comming to my own thoughts on Jesus as man, magician, God, Logos, etc., but no matter what I think about Him, I've never really doubted that I am cared about, really genuinely Loved, unconditionally.
That said, I've never worked with Jesus in a magical context, though there is a tremendous amount of precident both from Catholic Folk practices, Hoodoo, and the Grimioric tradition. His name was used because it works, and because He responds to it regularly with help.
To close, a link to one of my favorite little booklets from my churchier days: "The Wonders of the Holy Name"