Matthew 6: 6

But you, when you pray, enter into your room. And shutting your door, pray to your Father in secret; and your Father who sees in secret shall reward you openly.

This is a strange contrast to our normal way of thinking (e.g., "I connect best with God when I can get away for everthing, get outside, and 'connect with nature'"). I would have expected that Jesus would have said something like "But you, when you pray, get away from it all, your family, friends, and all distractions. Get away from the hustle and bustle of your town or your farm into the natural environment that I created for you to enjoy a meaningful relationship with me. And when you have gotten away from it all, pray to your Father ...". Maybe one of the things that Jesus wants to get across here is for us to learn to pray right where we normally live.

One thing is really clear here, that Jesus expects us to connect intimately with Him as an individual, not only as part of a group of believers.