Seeing then that we have a great high priest, that is passed into the heavens, Jesus the Son of God, let us hold fast our profession. For we have not an high priest which cannot be touched with the feeling of our infirmities; but was in all points tempted like as we are, yet without sin. Let us therefore come boldly unto the throne of grace, that we may obtain mercy, and find grace to help in time of need. - Hebrews 4:14-16
Christ is our high priest - He connects us with the Father. He knows our struggles and weaknesses and can sympathize because He is fully man as well as fully God. Therefore we can confidently bring our problems and thoughts and fears to Him, and He will give us mercy and grace. Prayer isn't something we have to do - it is a gift.