You're right about Jesus' second coming: When He comes again (as He's promised to do), He will come in power and glory -- and everyone will realize who He is. The Bible says, "When the Son of Man comes... he will sit on his throne in heavenly glory" (Matthew 25:31). Even those who wanted nothing to do with Him will be compelled to believe (although for them it will be too late).
But Jesus' first coming was not this way -- and for good reason. If He had descended from heaven, the whole world would have been impressed -- but would they have realized He loves us and wants to save us? Would they have realized that God understands our struggles, heartaches and temptations? I doubt it.
Instead, God showed His love for us in a way we all could understand: by humbling Himself and becoming a man. Think of it: God knows what it's like to be a human being -- because He became one! The Bible says, "For we do not have a high priest who is unable to sympathize with our weaknesses, but we have one who has been tempted in every way, just as we are -- yet was without sin" (Hebrews 4:15).
Most of all, God demonstrated His love for us by allowing His Son to die on the cross for our sins. As Christmas approaches this year, take time every day to thank God for the greatest gift we could ever receive -- the gift of His Son, Jesus Christ.