People will answer these concerns with assurances that God does hear our prayer and answer, and sometimes the answer is "No" or "Wait." Others will tell you that God knows better than we do what we need and gives us what's best for us rather than what we ask for in our prayers. Both of these answers seem to have have a nugget of truth in them but I think they miss the mark. I don't actually think either of them is a true picture of what's going on.
The fundamental problem is this view of prayer as a transaction... I give something to God (faith, service, belief, etc.) and he is thereby obligated to give me something back (what I ask for). If I don't get what I asked for then either there's a problem with my prayer technique, or God is somehow cheating me out of what I deserve. The first conclusion spawns how-to-pray books and sermons, the second brings my whole belief in a good and perfect God into question.
A better view of prayer is that it's part of the relationship between me and God. I don't want a "networking" relationship with God, the kind where I get his email address and keep in touch because he might be useful to me some day. I want the close, personal friendship kind of relationship. In this kind of relationship, sharing the details of my life, whether struggles or triumphs, gives God pleasure. He really wants to hear all about what's going on with me, not because he's trying to find out what to do for me, but simply because he's interested in me.
It's what good friends do. We talk. About anything and everything. Not to fix each other, but just to talk. Friends read each other's blogs too. I bet God reads our blogs. I wonder what he thinks!