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One of the reasons we pray to God is so that we can thank Him for the blessings he's done for us. In a word: Worship. Most people pray to worship & praise our Lord.

Now, you're talking about praying to ask for things. That does make sense. We are not praying to inform God of our troubles. He knows this already. We are praying to physically present ourselves as the small weaklings (cant think of a better word right now) that we are. When we get down on our knees and pray, it shows that we know that we are weak and are acknowledging the power of our Lord.

When we do this, we act our humbleness, and God likes this. Even if he knows we need help, we must still act on it. He knows we need him. That doesn't mean he'll always act. He wants us to put forth some form of action. To meet him halfway. And sometimes, all we have to do is humbly request help and acknowledge that he is the one who loves us and the one who can help us. And that's all the action he wants, sometimes.