Every couple of rounds of PHD dissertations that notion changes.
The biggest support is a skeleton of a child which is believed to be a hybrid of Neanderthals and Homo Sapience but the morphological bone evidence isn't that conclusive.
http://news.discovery.com/human/evolution/neanderthal-skelet...
What i really don't like about that article is about how they phrased it the mDNA wasn't "Neanderthal", it just had markers which are rare in modern humans, some of those marker also appear mapped mDNA of "Neanderthals".
mDNA aside general genetic markers is a much weaker theory mostly because we cannot estimate well enough how much of the DNA in question actually came through inter-breeding and how much of it might actually survived from a previous common ancestor, or how many of them are just random mutations that survived through natural selection or cultural selective breeding.
Because there have been claims before about that like that the gene for readheads came from Neanderthals but then was discovered that that specific mutation is just naturally occurring for humans and the redhead gene of modern humans isn't the same for Neanderthals or other primates.
The 1-4% neanderthal DNA is also a bit well iffy, comparing genomes is very tricky and those comparisons often strip away all the large differences e.g. like humans and chimpanzees only share 99% of the genes when you strip about 2/3rd of the genome.
So while there might have been interbreeding there's very little of actual evidence to point to the extent and the cause of it, could've been social interbreeding, could've been pillage and rape, could've been small isolated cases, could've been widespread, but PC gen-Y notions aside the science isn't really clear on on side or the other and it's hard to know if it ever will be able to be.
