Call of the Ancients
Our ancestors prayed to their gods, long ago. Their pleas and offerings are documented in the hieroglyphs that adorn the tombs of Egyptian pharaohs, in the carvings and inscriptions left for us to read by the philosophers and teachers of ancient Greece and Rome. Later on, as Christianity moved in and replaced many of the old Pagan cultures, Irish monks wrote down stories, illuminating their manuscripts with vivid and colorful artwork. Information about man's need to connect with the Divine comes to us from China, India, and all over the globe.
Some prayers survive to the present day because they have lived on not in written documentation but in the oral traditions of the area -- via folktales, songs, legends, etc. Although we don't know how much of the existing wording is really "ancient" and how much was added through the ages, the message remains essentially the same. A prayer is our way of saying to the gods, "I can't do this alone, and I could sure use some help."
Offerings and Altars
In many Pagan traditions, both modern and ancient, it is customary to make an offering to a divine being. An offering is simply a gift, and it is given not as a trade-off ("Yo, here's some pretty sparkly stuff, so now can you please grant my wishes?") but as a way of showing honor and respect, no matter what the answers to your prayers may ultimately be. In some forms of Wicca, the offering of time and dedication is as important as an offering of tangible items.
Many times offerings are left on an altar or shrine to the gods, and this is common in many faiths. How many times have you driven past a Catholic church and seen flowers or candles left in front of a statue of the Virgin Mary?
So What's the Point, Really?
Some people may argue that prayer is a waste of time -- after all, if the gods are so divine, don't they already know what we need and want? Why should we have to go to the trouble of asking?
If you're married, there have probably been times where you've gotten frustrated with your spouse, because they didn't know what you wanted. You didn't TELL them what you wanted, because after all, as your spouse who loves you, they should just KNOW, right?
Well, not necessarily. Eventually, you probably talked to your significant other, found out he or she had NO idea you were annoyed at him because he didn't want to go with you to that romantic comedy you've been looking forward to for months. Then you forgave him because once the lines of communication were opened up, it turned out that your honey doesn't hate Drew Barrymore after all, he just wanted to go see something with guns and explosions instead.
The gods are the same way (no, they don't hate Drew Barrymore either). They don't always know what we want -- and sometimes, what they think we want and what WE think we want are two completely different things.
That's why it's up to you to make it known. If you want divine intervention, you should ask. If you don't, the answer will ALWAYS be "no".
Prayers vs. Spells
A prayer is a request. It's where you go directly to the Universe, the Goddess, Allah, Yahweh, Herne, Apollo, or whoever you may be hoping will help out, and you ask them point blank, "Please help me with _______________."
A spell, on the other hand, is a command. It's the redirection of energy, causing a change, to conform with your will. While you may ask a god or goddess for a little extra mojo in your spellwork, it's not always necessary. In a spell, the power comes from within the caster. In a prayer, the power comes from the gods.
Who Should I Pray To, Anyway?
You can pray to anyone you like. You can pray to a god, a goddess, or the Grand High Poobah of the Toaster Oven. Pray to whoever -- or whatever -- is most likely to take an interest in your dilemma. If you're working on protection of your home, for example, you may wish to call upon Vesta or Brighid, both guardians of the hearth. If you're about to enter into a nasty conflict, perhaps Mars, the god of war, would be willing to step in for a bit of fun.
Some people pray simply to spirits -- spirits of the earth, of the sky, of the sea, etc.
In addition to praying to gods or spirits, some Pagans and Wiccans pray to their ancestors, and that's perfectly acceptable too. You may see your ancestors as a specific individual (dear Uncle Bob who died in Vietnam, or your great great great grandpa who settled the frontier, etc.) or you may see them as archetypes. Either way, go with what works best for your tradition.
Putting it All Together
Ultimately, prayer is a very personal thing. You can do it out loud or silently, in a church or backyard or forest or at a kitchen table. Pray when you need to, and say what you wish to say. Chances are good that someone is listening.