Why should we pray? Because God wants us to pray. Jesus set the example. Jesus prayed. He taught His followers to pray, and how not to pray. He brought His closest followers with Him to keep watch and to pray, as He began His hardest day in prayer. The apostles call on believers to be in "unceasing prayer" (Romans 12:12, Colossians 4:2; 1 Thessalonians 5:17; Ephesians 6:18; Jude 20; 1 Peter 4:7; Philippians 4:6.) Paul was a pray-er, too (2 Corinthians 13:7; Ephesians 1:16-23; Philippians 1:9; 2 Thessalonians 1:11). The early church urged its members to pray intercessions for all. The early church even prayed for their government's rulers, who were often trying to stop them and (rarely) even kill them. Their concerns were not just for their own.
The more your heart opens out to God in prayer, the more that your time with God will buoy your daily life. Spiritual disciplines and practices assist us in this act of opening-out.
Jesus gives a great lesson on what prayer is like. It's like the woman who keeps knocking at the door until the judge comes out and addresses her concern, if only just to get rid of those annoying knocks. (Picture Jesus smiling as he tells the story.) But how much more would you be heard by Someone who loves you? Many people today wonder if we should be pestering God with our concerns. The answer is Scriptural: God says 'pester me'!
Isn't God Already Doing It?
It's true: God already gives us the kind of things we ask for in prayer. Not always the specific request, but an overall abundance of what makes for a good life - or even what makes for life at all. So, why does God want us to ask? What good does it do? This is not just a philosophical question that theologians and seminary professors ask. It's what churchgoers in the pews ask. It's what their children pester their parents or pastor with. Millions of people have asked, but the churches didn't give them reasonable or common-sensical answers. It just told them, in essence, "because we do". It becomes just one more reason to head out the door.
Martin Luther had to face these questions in his day too. Not that it was a simple thing to leave the church back then. It was dangerous. So a lot of people just came and sat there for Sunday, entirely convinced that The Church as an institution didn't care, and just wanted to make them obedient and guilt-ridden. One of Luther's solutions was to make a simple way of teaching the faith and what it means for daily living. He developed the Small Catechism, which covered key parts of Christian practice. One of those sections is on The Lord's Prayer. He went into it line by line, based on what he felt his parishioners would most wonder about or gain from. And when he explained each line, he started by saying that God was already doing this, then said that we ask in order that it may come about now in the household of believers and the world we live in. This can't be done just by our own willpower - we don't will it, and don't know how to do what needs to be done even if we did. But the Holy Spirit comes to make it happen. Christ taught us to pray in order to bring us into the circle. The Father promised to hear us. So when we act to do what God called on us to do by praying, it's the Triune God, me, and the whole Church all acting in agreement. Together, we will get to where we are being led to go. The Kingdom will come. That's why prayer ends with a Yes! It shall be (= Amen).
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Thinking Is Not Praying
There's a big difference between just thinking something and conversing with God. Prayer has a direction. You're not churning it in your brain or sharing it with friends or talking it over with a psychologist or getting in touch with your inner self. Your prayer is directed to God -- acknowledging not only God's existence, but also a relationship and even a certain degree of trust. It's not a waste of time because God is hard at work in this confused, ambiguous world, to draw that world toward God's good purposes. It's your response to God's work. If there's no one out there, or if there's no way to relate or even communicate, or if a wrathful divinity would strike you down just for trying, why would anyone pray? There's an unspoken hope in each prayer, even if it hangs by a thread or is the size of a mustard seed, that somehow the mightiest being of all thinks you matter. God's response also has a direction: you will not be left adrift or be led nowhere (unless, like Israel in the Sinai, you have a lesson to learn from the drifting).