Different people have different feelings about it.

My preference is to liken it to talking (and sometimes venting) to a respected parent or grandparen't who already knows your strengths and weaknesses and failings but listens to your frustrations, sympathizes with your disappointments, hears your wants/hopes/desires/concerns and listens to your opinions (good and bad) - without expecting perfection - AND loves you unconditionally. (Who else can you tell about your deepest/darkest feelings and your worst secrets/actions without fear of disclosure or ridicule?)

In any case, many find the very act of acknowledging a higher power helps reduce some stress/anxiety because it can provide a feeling of connectedness to something greater than themselves that can reduce the feeling of going through things alone.