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Why did Jacob bury Rachel on the way to Efrat, rather than carry her body to the ancestral plot in the cave of Machpelah (gravesites of the Patriarchs and Matriarchs in Hebron)?”, our Sages ask.
The Sages then explain that Jacob had a prophetic vision of the Jewish people passing Rachel’s burial place as they were exiled from Jerusalem and led to Babylon, whereupon Rachel would intercede on their behalf and her prayers would be heard.
Machpela Cave Similarly, on his way with the spies to Israel, Caleb paused in Hebron to pray at the Caves of the Patriarchs.These prayers saved him from becoming embroiled in the ill-fated plot of the spies.
Gravesites of other Tzadikim (righteous men and women), both in Eretz Yisrael and in the world at large, in both Ashkenazi and Sephardi communities, have served as places of prayer for our people throughout the centuries. At the gravesite, the person (or the person’s representative) asks G-d for mercy in the merit of the Tzadik who reposes in the dust [not, Heaven forfend, praying directly to the dead person - an act strictly forbidden by Torah Law].
The Sages teach: “the righteous are greater after death than in their lifetime” (Chulin 7b). In the presence of the Tzadik's resting place, there is a residual influence of the soul which remains associated with the body in the grave that is not limited the way it was while within a body, as the Ari z”l explains in his teachings in Likkutei Torah. The aura of Gan Eden (Paradise) dispersed around the Tzadik's place of repose allows for the prayers recited there to be more likely to be accepted.

The second Rebbe of Chabad, Rabbi DovBer of Lubavitch describes how one’s prayers can enter heaven via the departed tzadik’s soul channel which are accessible at his grave in his classic Chassidic discourse, To Understand the Concept of Hishtatchus (visiting graves):

As mentioned in the Shulchan Aruch, Hilchot Rosh HaShanah, it is customary to go to the cemetery and make manifold supplications. The rationale is given there is that the resting place of the tzaddikim is a holy and pure place and a prayer recited there will be more acceptable. One should ask G d for mercy in the merit of the tzaddikim who rest in the dust.

In addition, surely the person will pray there with a desirable intent as a result of being aroused to teshuvah, because “the living take it to heart.” Visiting graves arouses feelings of mourning, humbles the yetzer hora, and inspires one to turn to G-d in teshuvah. This reflects our Sages’ statement that to humble the yetzer hora, one should remind it of the day of death. And it is written: “It is better to go to the house of mourning than to the house of rejoicing...[so that] the living take it to heart.” This also will cause his prayers to be desirable and acceptable.

This is equally valid for Jews and non-Jews alike, as evident in these stories:
One Month Per Family & The Pilgrimage of a Polish-Catholic Nobleman.

This prayer bears fruit on both the spiritual and material planes, ascending from such holy places to the esoteric realms where one’s sincere pleas will rapidly be accepted for the good. Amen!