Job 11:7: “Can you find out the deep things of God? Can you find out the limit of the Almighty? (ESV)
Though these words were spoken by a less-than-empathetic friend of the suffering Job, the question is still legitimate.
There is a mystery in God. Though there is nothing about him he hasn't already revealed to us in Jesus, the depth of what he has shown us of his heart is an adventure for us to explore. (And, frankly, we will never exhausted the depth of who he is, but it will be fun trying!)
When we pray, we explore. Yes, he hears and responds. The world is changed through that, and so are we. But, also, we get to explore the heart of God as we deliberately spend time in his presence.