The Gods have spoken to common man in many different ways down through the Ages, sometimes in forms contained in mystery. Even today, each individual can have their own unique way in which the Gods convey messages to them, and that particular method is appropriate for, and best understood by, that person. For me personally, the Gods normally respond to my prayers with answers that effect my emotions. For example, let's say I ask Athena for help in a legal matter (which thankfully I've only had to do once), or I pray to Hera for marriage counseling. They will answer by giving me a total bodily feeling. If things are going to be okay, to put it shortly, their presence will feel peaceful, happy, and relieving. Fortunately, I've never had a prayer answered to the contrary, at least not that I can recall at this time. When the Gods turn their attention to you, your mind and body feel it.
The Gods spoke to ancient man much in the same way they speak to us today, through signs, omens, dreams, emotions, seers and oracles, each one possibly becoming a little more direct than the previous. If you know anything about the Oracle of Delphi, Apollon spoke through the voice of His Pythia to give advice to mankind, but even then it was very short and often encrypted (He likes to give us things to figure out for ourselves. He doesn't attempt to make our choices or live our lives for us). We may wonder why all this is the case. Certainly the Gods can do whatever they want, yet they do not stand before us and talk to us like our friends and family do on a daily basis. Why do they prefer natural, mental, emotional and spiritual communications? I start these kinds of discussions by saying that I am wise because I know that I don't have the answer. So that leaves us with philosophy and examination of the possibilities.
I would first entertain the idea that the Gods are indeed, or at least can be, directly around us, but we cannot generally see them because our eyes are not adjusted to the plane upon which they live. We know there is a reasonable possibility that other universes exist parallel to our own, yet we cannot see them in our bodily form (although some Gods, such as Helios the Sun and Selene the Moon, are exceptions, but they still don't come down and talk to us). Even in the universe we can perceive, there are signals, waves and lifeforms all around us at this very moment that our eyes cannot elevate or descend to. Nevertheless, these invisible things still have an impact on our universe, our world, and our lives. We can't see the forces moving things along, but they still do. We can't see all that exists, but they remain all the same. And if there are things we cannot see because our perception is limited, then certainly there are also things we cannot hear because of that shortcoming. Is it generally possible that we simply cannot see or hear the Gods with our mere physicality? If so, it may be why the Gods communicate with us through sights and sounds that we can perceive, or at least perceive more easily.
Of course, the Gods can and have fully formed to people in the past, or have shown themselves to humans. There are always exceptions when the need has risen, but that's not normally how they interact with us on a regular basis.
The second possibility is that the Gods enjoy giving us a textbook of universal answers that we can always live by. For instance, "When you see me send the wind that way, when you see me make the animals do this, when you hear that sound, when you dream about that, when you feel that emotion, that's how you know." The Gods can speak to all of mankind in forms that are ultimate. In many ways, we've already come to understand and accept universal signs. We know to get inside when the clouds turn black, to plant only when we see the soil is fertile, and to listen to our instincts about other people and places.
Additionally, some may even believe that it's not possible for our mortal bodies to stand in the full presence of a God, citing the version of the story of Zeus and Semele when Zeus reluctantly killed Semele because She was unable to withstand His radiance. I don't believe this, because it would be to say that the Gods can't contain themselves. But of course, I also admit that I know nothing as well.
Finally, I'd say it's possible that the Gods don't usually come to us on our level because, unlike our friends and family, we are not their equals, nor do the Gods exist for our purposes. They answer our prayers, protect us, give us blessings and advice, and keep order in the universe, but they're not our coworkers or office party. Their positions are extremely sacred, royal, and hold responsibilities that we could not even begin to fathom. I delight in the simple fact that the Gods like, love and are intrigued enough by humans to give us as much of their blessings as possible.
In the Goodness of the Gods,