The psalms don't give us simple solutions to the problems and sorrows that we deal with in our lives, but they do give us the words with which we can call out to God. The psalms were written by people much like us, followers of God, dealing with the same problems and sorrows we deal with.
The message of Psalm 139--God knows us, and he is always present, no matter where we are or what we do--can be comforting to us, but it can also be troubling. This psalm is about living in relationship with God, which is not always an easy thing to do. But God is in relationship with us, and he has gone to great lengths to be in relationship with us--even to being born into this broken world, to share our troubles, sorrows, and suffering, and to give his life for us.