I think that praying is potentially very dangerous due to creating instability (if one has something to pray to, it follows that potentially he will experience a religious epiphany/related as a result in the future, which was caused by the complicated mental phenomenon of praying to something in your own mental world).
Some people, obviously, even killed others because the deity told them too. I am sure those were a tiny minority, but praying can have other sorts of drastic effects too (mentally, at least).
*
Then again, in theory (ie i doubt it is true, but who knows) one might communicate with something external through prayer. Personally i find it a bad move, but i only know a significant part of my own mental world.