Prayer is not an "I ask, you give" thing.
God is not Santa Claus. If you pray once a year, and only if you need something, don't expect to get it. You probably won't. Unless of course, God sees that you would really get some good from it. You may eventually get it, you may not. God may have something better in store. He may also be waiting for you to grow up.
People who pray all the time, who trust God to give what is needed and open other doors if one is closed, and not just when they need something, often receive answers to their prayers. This does not mean that nothing bad ever happens to them, it means God works around the bad.
Prayer is not a monologue.
It is a dialogue. Prayer, at first, feels like a monologue. That's because you have to learn the language of the soul. The soul communicates without sound or sight. You won't hear the answers to your prayers with your ears. You will feel them. You will know without knowing why, that something is just right. You will recognize truth when you see it. Sometimes a random thought will pop into your head, as you pray, and you realize this is it, the answer to your question. God speaks in many ways, through scripture, through other people and through your own thoughts.
Prayer is not an intense, "warm, fuzzy feelings" thing
It can be. But more often than not, it isn't. Great mystics have known the intense feeling of being loved by God, only to suddenly go through a spiritual desert void of feeling, in which they wonder where He is. Prayer can be intense, but sometimes it can feel monotonous and empty. God still hears you, even when you wonder if He doesn't.
Prayer does not necessarily change your circumstances
Prayer changes you. YOU become a better, stronger person, more able to take on life. YOU become more patient. YOU become more kind (and what goes around, comes around). YOU make your life better.
Prayer has made me a better person. Santa god may not have given you what you wanted for Christmas last year, but you can be grateful that the real God made me a better person and you don't have to deal with the witch I might have been. And THAT my friends is an even better gift than the thing you asked for last year, or the thing you asked for 20-30 years ago.