I hope this will help you. I have been a Christian all my life, but honestly I never understood the concept of Jesus being my friend or being by my side until recently. I always believed in God and that Jesus is the son of God, but it was never personal to me.
When I started having the panic attacks a few years ago, my therapist asked me, if I'm so afraid of dying then where is my faith? Then it suddenly clicked and I knew that I didn't have the faith I thought I had, and my first action was to start reading my Bible. All these years as a Christian and I had never read much of it.
So I started reading it, but I read the New Testament first, then the Old Testament. I'm still reading, by the way. It really has helped, but I must say that sometimes my personal experiences have done just as much for my feeling of closeness to God/Jesus.
Like you, I had heard people say things about talking to God or to Jesus and I never understood it. I understood praying and I said my prayers every night, but they were just the routine ones. With the anxiety I was desperate for help, and I prayed, a LOT. It did help, but I was expecting complete healing and it didn't come.
I slowly began to realize that I was becoming closer to God through my situation, so I came to the conclusion that God was using my anxiety to bring me closer to Him. Well it worked. Also I had the priveledge of having some very faithful believers as friends, who taught me a lot I didn't know.
One friend told me that if I didn't feel connected to God, I should sit very quietly in meditation until my mind was clear, and then once clear, to simply ask God to let me know how he feels about me, and wait. I did this and I was sitting in my living room. It was somewhat of an overcast day outside. After I asked God the question, I waited about 60 seconds, and all of a sudden it got very bright. My eyes were closed so I could only tell this by the light coming through my eyelids, but it was definite. I got this warm feeling all inside me, and it was like hearing God say "I love you!". I opened my eyes to discover that the sun was now pouring through my window. Of course anyone could say that this is purely a coincicence, but I believe it was God talking to me.
Another example (sorry if this is so long) is that I had always heard if you call out to God He will help you, but there were so many times when I needed His help and I prayed and it wasn't obvious. Then one day I was delivering a $1,000 check from a client to another agency, when the check got caught in the wind and within seconds it was halfway down the block. I panicked. There was no way I could call that lady and tell her I lost her check. I tried running after it, but it was clear to me that was futile, so I stopped where I was and literally cried out, "God, HELP ME!". Just then a man down the street stepped out of his truck, stepped on the check as it was blowing by him, and as I ran up to him he handed it to me and said, "You must be looking for this". I have been telling people that story ever since. It was so amazing to see God at work and in action in my life like that.
I have loads of other examples, but I won't bore you to death with them. I have a lot of athiest and agnostic friends, and I know that from where you are all this may seem a little crazy, but it isn't, and when and if you finally just let go of your doubts everything will be crystal clear.
Email me if you want to talk.
sandinafh@cox.net
Sandina