Tim Baylor discusses Scriptural answers to some very difficult questions in his Sermon About Prayer:
What is prayer?
To whom should we pray?
How should we pray?
When should we pray?
How do we reconcile what Jesus says we can do by prayer and what we actually do by prayer?
What happens when we pray?
Although Tim starts with difficult questions he concludes with practical examples and metaphors that enable us to understand the true nature of prayer, why it is so important, and how the Lord uses it to change us and the world around us.