Why do we pray when God already knows what we need?

One reason: to express our love for the God who loves us. We admit our faults and weaknesses to him, so that he might advance this day the work he has begun in us, that we might yet become like him in character, longing more for his truth, justice and love than we do for our own comfort and pleasure.

The above is an adaptation of something I found the other day in Augustine's Confessions.

I have already said, and shall say, for the love of Thy love do I this. For we also pray, and yet Truth says, “Your Father knoweth what things ye have need of before ye ask Him.” (Matt. 6:8) Therefore do we make known unto Thee our love, in confessing unto Thee our own miseries and Thy mercies upon us, that Thou mayest free us altogether, since Thou hast begun, that we may cease to be wretched in ourselves, and that we may be blessed in Thee; since Thou hast called us, that we may be poor in spirit, and meek, and mourners, and hungering and athirst after righteousness, and merciful, and pure in heart, and peacemakers.