"For we have not an high priest which cannot be touched with the feeling of our infirmities; but was in all points tempted like as we are, yet without sin." (Heb 4:15)
Jesus understands our weaknesses, he can sympathize with us simply because he faced all the same challenges and temptations we do. He "gets" it. And all these same tests of courage and faith came to him without having sinned. He had the opportunity to say "no" and he chose to suffer and die for us.
When we pray to God through Jesus, we have a mediator who has experienced the same feelings, the same anguish and the same pain as you and I. He experienced the loss of a parent (his father, Joseph). He experienced the loss of a friend (Lazarus). He knows what it's like to have a friend stab you in the back and betray you (Judas). He's had a friend even deny knowing him (Peter). He's had people make fun of him and assault him (bullied and abused). He's also known the joys! But then, we don't usually pray for relief from those, do we?
When we are in the midst of our own pain, we'd like to think no one else has ever had it so bad. Jesus has. He spent days in the desert fighting off the enemy. He spent hours in prison for a crime he wasn't guilty of. He was mocked and beaten and made fun of because he claimed to be a king. He was crucified for heresy, and in that moment, he forgave those who executed him! Can you or I make the same claim? Have we ever refused to forgive? Have we ever judged because what was being relayed to us was simply absurd and thought to be impossible? Have we ever given into temptation simply because it was easier than resisting?
So, when we pray to God through Jesus (and we are to ONLY pray to God through Jesus - and through no one else (John 14:6) we petition a man who knows our pain on a first-hand level. He's lived it, experienced it and will intercede on our behalf. He understands and will listen!