Exodus 4.1: "And Moses answered and said, But, behold, they will not believe me, nor hearken unto my voice: for they will say, The LORD hath not appeared unto thee."
Romans 10.17: "So then faith cometh by hearing, and hearing by the word of God."
Hebrew 11.1: "Now faith is the substance of things hoped for, the evidence of things not seen."
There's a circularity here.
We receive faith by hearing the word of God. But if we do not believe, we will not listen. So how to come to faith?
God has given us a revelation of Himself in nature. A revelation which tells us there is a powerful God who reveals Himself. Hearing the word of God requires a humble submission to that natural revelation.
So we humbly come before God, hear His word, and that faith grows in us.
God does not hit us over the head. Those who choose not to believe -- like the Egyptians Moses alludes to in Exodus 4.1 -- will not believe, will not listen, and will ultimately deny that God has spoken.
But God is merciful. Even to those whose faith is infinitely weak, He feeds and brings us gently along.
That's why hearing God's word is important. The very act of hearing reminds us that we are creatures, and that hearing in turn grows our faith which in turn leads us to greater and greater understanding of the word of God.