What is prayer?
Think about it this way, you pray to your family, friends, coworkers, and even strangers everyday. Prayer is communicating your heart, thoughts, pains and joys of life with someone else in hopes of gaining an answer or just a compassionate listening ear that you can trust.
Jesus has given us a compassionate listening ear, and He will love us through whatever we are going through. God desires to hear from us and not only hear from us but also respond. But one of the problems most of us have in communicating is that we quickly get impatient when it's time for Him to communicate to us or share things that He wants us to know, it soon becomes a one sided conversation and you think you're frustrated, guess how frustrating it is for God too. Though you may not be able to see Him with your naked eye He still is present and want to be intimate with you, and that comes from getting to know Him by dialogue with Him everyday.
Scriptural Ref. James 5:16, Phil 4:6-7, Mark 1:17, Roman 8:37, John 15:7, John 11:42, and 2 Samuel 7