Last week, I was enjoying lunch with a friend from church who has a son who is just old enough to begin talking. He knows how to ask for water, bananas, cars, help and other simple things like that. She said that even though she will always make sure that he has enough water or food and will always help him if he is stuck, she delights to hear him ask for her to do those things. It means that he trusts her, that he has no fear, that he sees her as someone who can provide those good things for him.
Later on in that lunch, we were talking about prayer. It's easy to question why we even need to pray if the Lord truly is sovereign and knows what we need. The simple answer is, of course, that the He has told us to pray. That said, though, we are the Lord's children. Though I don't think that this is a complete answer to the question, I do think that part of why we ought to go before the Lord in prayer is because it delights Him when we seek Him as the source of all good things.
What a privilege it is to approach the throne of grace boldly, knowing that we are His children and that we can come before Him with everything.