I heard a sermon preached by Louis Giglio once (a podcast actually) about miracles. He believes, and I agree with him, that when you pray for a miracle, you always get one- it's just not always the miracle you hoped it would be (or perhaps prayed that it would be).
We find the story of Stephen is Acts. He's a believer and filled with the Holy Spirit. Basically, he ticks a bunch of people off because of his faith, so they take him out of the city and stone him to death. What's interesting about this is he was filled with the Holy Spirit, and yet wasn't delivered. Instead, he became a martyr (and quite a famous one at that). Though I'm sure Stephen hoped that God would deliver him from them, God didn't. Does this make God merciless? No, it just makes Him wiser than Stephen, and wiser than you.
A more told story we hear is that of Jesus dying on the cross. Jesus said "if this cup may be taken from me, let it be taken, though not my will but yours be done." Jesus could have had a variety of miracles save Him from the Romans, but that wasn't God's plan. If any miracle other than the one of Christ dying on the cross for us had happened, we would be in a much worse state than we are now even.
All of this leads me to 2 points. First, that if you don't know what to pray, simply pray for a miracle. God will come through. Secondly, trust Him. Many times His plan will involve pain and trials, real stuff that involves real life. I'm not gonna give you some sappy "it'll all be alright" soft soap christianity or entry. Trials are real, death is real, pain is real, depression is real. God is real. If Jesus had not died on the cross, He would not have had resurrection, and would not have been glorified.
No matter how far you may feel or how down you may be, no matter what trial you may be facing or what tomorrow may bring, remember that Jesus loves you.