Jesus prayed. He prayed all of the time. His prayer life shows the depth that ours needs to be as well. Jesus prayed early:
Very early in the morning, while it was still dark, Jesus got up, left the house and went off to a solitary place, where he prayed. - Mark 1:35 NIV
Starting your day with prayer connects your day with God from the beginning. Before the distractions of the world can invade our minds and thinking. Jesus also prayed late:
One of those days Jesus went out to a mountainside to pray, and spent the night praying to God. Luke 6:12
Spent the night! We need to stretch the limits of our personal prayer life, not seek to place limitations on it. Jesus also prayed alone:
But Jesus often withdrew to lonely places and prayed. - Luke 5:16 NIV
The prayer closet can be a place of great joy and peace; where you can connect with God without the noise that usually clutters up our lives. Just make sure you don't leave Jesus in the closet because He also prayed corporately with His disciples!
To me, if Jesus did it, that is a good enough reason to do it but there are more reasons than that supporting a robust prayer life. First of all, prayer gives us direct access to God:
In him and through faith in him we may approach God with freedom and confidence. Ephesians 3:12