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What is it about prayer? If I talk about it, the conversation either begins and ends in talking ABOUT it  (as, you see, talking about prayer is ok, just, please, don’t do it) or it ends (people don’t want to talk about it, it’s too personal or some such). But it’s there—from youth to old age, prayer keeps returning.
So, why do we pray?— I am not speaking of the “transactional” prayers in which types of prayers and sacrifices function as part of the economy of “bargaining” for a divine favor or good fortune from some spirit-god, as shamans, witchdoctors and other “spirit-guides” do.
I am speaking of the appeal that we–finite, mortal and flawed people–make to all-powerful and all-knowing, creator and sustainer God. What is our unspoken or assumed expectation of prayer? I sense it is often not simply petitioning the Almighty, but also, a desire to experience His immanence in our (little) lives. Yes, we may pray because we seek help, but we seek transcendence.
What is the thing least understood thing about prayer, particularly petition (request) prayers?  I believe people are surprised or disappointed that they don’t get what they pray for just because they prayed for it – at least not every time. Which is rather curious, if God is who He is and we are who we are, then we should be okay with it.
Then there is a group of people who refuse to pray because “if God is really a beneficent and all-knowing, then I need not pray. Without even asking, He’s rushing to bestow on me my desire.” I am not sure if this is challenging God, or pride, or laziness, or mere disbelief—or a combination. If my teenager needs and wants breakfast before school, then he should move to the kitchen where the breakfast food is—he’ll not get it lying in bed. (Charity Johnson)
George MacDonald addresses it here:
“But if God is so good as you represent Him [to be], and if He knows all that we need, and far better than we do ourselves, why [is] it necessary to ask Him for anything?”
I answer,
“What if He knows prayer to be the thing we need first and most? What if the main object in God’s idea of prayer [is] the supplying of our great, our endless need—the need of Himself?
Hunger may drive the runaway child [back] home, and he may or may not be fed at once, but he needs his mother more than his dinner.
Communion with God is the one need of the soul beyond all other need:prayer is the beginning of that communion, [there is] some need that is the motive of that prayer.
So begins a communion, a taking up with God, a coming-to-one with Him. [This] is the sole end of prayer, [even] of existence itself in its infinite phases.
We must ask that we may receive:[however] it is not God’s end in having us pray to receive with respect to our lower needs [since] He could give us everything without that.
[God would] bring us to His knee… [He] withholds [so] that we may ask.”

from George MacDonald, 365 Readings, edited by CS Lewis (language updated)
Collier Books, Macmillan Publishing Company, New York