Our Heavenly Father gives us commandments that he expects us to follow so that we may be able to return to live with him someday. We don't always know why we need to do these things, however our Heavenly Father asks us to have faith in him and to obey his commandments anyway. I think my favorite example of this principle comes from our first father on the Earth, Adam.
Moses 5:5-7) I have discovered that our Heavenly Father follows the same pattern with us. He first asks us to do something that we are not accustomed to and asks us to act on faith. Then after we have shown him our faith by following his commandments he gives to us more knowledge of why we were asked to do those things. (John 7:17)