One World Under G-d
Basically, G-d, the L-rd, is Master of the Universe, He is One, and of course there is no other. With regards to other religions and other people of non-Jewish faith, when they pray and have a connection with their deity and he answers their prayers or they feel a great devotion and connection, are they actually connecting to G-d? After all, He is the Father of the whole world, not just the Jews. So would it be true to say that at the end of the day we all pray and believe in the same G-d even though we all connect to Him through different ways?
You see the more complex my perception is of G-d, the more difficulty I have connecting with Him. Before I started becoming more observant, I had simple faith and I could connect very easily. However, once I started practicing more and keeping more mitzvot and changing my lifestyle, only then did I start having difficulty with emunah (faith), which has affected my davening etc. I hope my question is understandable.
Regarding pagan or idolatrous religions of the world, one could not say that they inspire a connection to G-d, or that their adherents are praying to, or thereby receiving from, G-d. On the contrary, such beliefs are antithetical to G-d, and are strictly forbidden to all mankind.
The basic spiritual drive inherent in all people is certainly from G-d, and these religions' attempt to provide for that need results from an innate yearning to connect to G-d, but those venues don't work. Often, they are connecting to impure forces. And if G-d provides for them, it is not because of their prayer to these forbidden forces, but rather in spite of it – out of His great love for all His creatures.
Regarding the other monotheistic religions, insofar as they were inspired by Judaism, they do generally direct their belief, faith and prayer to our G-d, the L-rd. Rambam writes that these religions were actually facilitated by G-d as a way to wean humanity away from false beliefs of idolatry, demonology, magic and witchcraft, and in order to get mankind involved in grappling with the idea of One G-d and with issues of Mashiach and the ultimate revelation of G-d in His world.
Unfortunately, these religions obscure the truth of Judaism upon which they are based, by claiming to supplant or supersede Judaism. But in terms of the ultimate belief in G-d and impetus to do good in His name (although ideally it should be ascribed to the teachings of Moses in the Torah), the prayer and service of their good adherents is desired and accepted by G-d.
However, this should not undermine your commitment or feelings of being able to get close to Him. On the one hand, as you grow, and your belief and knowledge of G-d becomes more sophisticated, you will be challenged to appreciate your relationship with Him because He has thereby "grown" away from you in your greater appreciation of His greatness. But as you work on solidifying your belief and making it more consistent, you will appreciate it more than before.
You might compare this to learning a discipline or a sport. As a hobby, or on a more introductory level, you might find it easy and enjoyable. But as you progress, and therefore come to focus on more technical aspects of the matter or game, it becomes more difficult, and usually there's a lull in your actual enjoyment of it. But if you persevere, the deeper understanding and more sophisticated technique actually enable you to perform better than before, such that when you master the new level, your appreciation of it is that much greater.
So if you feel a lull, or even a backslide, as a result of your spiritual growth, that's par for the course. What you need to do is to keep working on it until you pass over the threshold and onto a new plateau. Then you'll really enjoy the benefit of your efforts - until you're ready to grow again.