And lead us not into temptation, but deliver us from the evil one.
Do we actually have to pray to God that He would not lead us into temptation? It would sure seem that way. But I think that this is more like the prayer for the daily bread. God is going to do these things, but in order to experience the working of God, we need to ask for these things.
I don't believe that God is going to ever lead us into temptation, in another place in the Bible, it says that God cannot tempt anyone with evil. So this is simply for our benefit.
Bottom line, this is the model for prayer, and Christ felt like this was important enough to put it in there, we should follow this example.