The Holy Spirit is the power of God at work in our world today. Jesus says we should ask, and it will be given to us - see Luke 11.9-13. Some of the things that the Holy Spirit does for us are:
He helps us to live in faith (John 15.26)
He helps us to fight sin and to gain more 'fruits'. (Galatians Chapter 5.22 and 25)
He intercedes (ie prays) for us (Romans Chapter 8.26)