In What Prayer is and isn't, Dan makes the point that prayer is talking to God and that it is not a conversation. He shows this very clearly from the Scriptures.
The article linked to above is all good stuff, but particularly worth taking away is his 4 point conclusion:
1. God gives believers' prayers a significant place in His plans.
2. We should never downplay the importance of approaching God in prayer, Biblically understood.
3. It is the height of folly to let circumstance or human reasoning discourage us from bringing our petitions to God. In other words...
4. Let God say "No, I have a better plan," rather than, "Since you did not ask (James 4:2b)...."