According to the Bible (Matthew 27:45-46), Jesus is reputed to have asked this on the cross. The New English Bible translates this as, "My God, my God, why hast thou forsaken me?" There is lots of speculation about why Jesus would have said this. Most of the speculation boils down to the idea that Jesus was acting like a normal human in a terrible predicament, which, of course, he was.
But I don't think that's what it was. Not that I'm a biblical scholar, or even Christian. (Although perhaps that's an advantage, as I wasn't programmed to believe anything in particular.) This is how my guides explained it to me:
If you choose to serve humanity or the earth, that is, the common good, or even the higher spiritual good, you must choose to serve of your own free will, not because it is your path, or because you are guided. You must choose to serve without the intervention of anyone, including guides, angels, or whatever your conception of God. That moment of choice is probably the only moment in your life when you are truly alone.
Choosing to serve of your own free will is the next step in spiritual mastery. It is the invitation for the Christ energy, the energy of evolution, to enter you.
There is, of course, no requirement to choose to serve -- all choices are honorable when made in full consciousness.
So should you ever feel truly alone in making a decision, especially if you are accustomed to getting any sort of spiritual or psychic information, please understand that this is an invitation to your spiritual evolution. There is a reason you feel alone -- and you can take an ironic sort of comfort from that -- you must be doing something right to even get the invitation!