What to pray

A king provides for His citizens so that they can live and serve him properly. This means he supplies all they need to do this.
Jesus is the perfect King and we are His citizens which means the citizens of His Kingdom will have all their needs to live and serve Him supplied thus His advice in Mat 6:33-34.
So if we do not need to pray for our needs what is left to pray for?
The purposes of The Kingdom so that His Will is done on earth. Intercession is one expression of this.
The desires of our heart He has not met yet. But this is dangerous to do because Jesus may not want to give it to you but Satan may give it to you to cause you problems. Remember Satan can answer prayer in his way as well as Jesus. This is why if you have no peace about the answer you need to check the spirit behind the request and the answer.
If you needed it Jesus would have given it to you anyway so to ask for something you do not have may be wrong as Jesus might not want you to have it.
There is a difference between expressing our heart to God and asking Him for what is on our heart.
We are a child of The Father and He always likes us to express our heart to Him. But like and good Father He will not give us anything that will hurt us.
Remember that The Holy Spirit also prays for you when you do not know what to pray and He has prayed for you and you did not know it.