In a clear and compelling way, Matthew records Christ's command that we pick up our cross as He did and follow Him on a path that leads to heaven and union with God.
"Then Jesus told his disciples, ‘If any want to become my followers, let them deny themselves and take up their cross and follow me. For those who want to save their life will lose it, and those who lose their life for my sake will find it. For what will it profit them if they gain the whole world but forfeit their life? Or what will they give in return for their life?" (Matthew 16:24-26; emphasis mine).
Jesus is very clear that self-denial is one mark of a true believer. For modern man, this is very difficult. Awash in material pursuits and drowning in the filth spewed by the media, we are living in an age which specifically encourages greed, envy, and lust; not self-denial.
Jesus is also clear that cross-bearing is another mark of a true believer. Anyone who embraces the fullness of their God-given faith and lives out all of the precepts of Orthodoxy will be led on a path not unlike the Via Dolorosa. This way of suffering can be marked by remembering one's own sins and living out the penances for those sins; experiencing persecution for one's own beliefs, which are the beliefs of the Church community; and/or living a life of prayer and fasting so that one does not get weighed down by his own passions and for the sake of being lifted up to the Lord.
Finally, Jesus explains that the true follower will forfeit his own life. Why would someone need to build up power, wealth, or status on this earth, if one knows that his existence is truly eternal and that his great reward is union with God in Heaven? The answer is that he wouldn't. Prayer, sacraments, attention to God, and the use of one's own skills to gather food and build a simple shelter are all we need.
None of this is possible on one's own, however. The existence of the Church was another of the great gifts that God gave to us. In it is found the continuation of Christ's life on earth and the place through which we come to learn how to live like Christ. By participating in liturgical services and receiving the Holy Mysteries, we learn to live as God wanted us to live.
But [it has on the other hand been shown] that the preaching of the Church is everywhere consistent, and continues in an even course, and receives testimony from the prophets, the apostles, and all the disciples [...] and that well-grounded system which tends to man's salvation, namely, our faith,' which, having been received from the Church, we do preserve, and which always, by the Spirit of God, renewing its youth, as if it were some precious deposit in an excellent vessel, cause the vessel itself, containing it to renew its youth also [...] 'For in the Church, God has set apostles, prophets, teachers' (1 Cor 12:28), and all the other means through which the Spirit works; of which all those are not partakers who do not join themselves to the Church, but defraud themselves of life through their perverse opinions and infamous behavior. For where the Church is, there is the Spirit of God; and where the Spirit of God, there is the Church, and every kind of grace; but the Spirit is truth (Irenaeus, Adv. Haereses, III, 24).
Keeping in mind that Church is the guarantor of the truth of God on Earth -- because it is the place where we receive Him in the Holy Mysteries, learn about Him in the Holy teaching, and serve Him by building up our brothers and sisters in the faith -- we cannot go off by ourselves and simply believe what we only want to believe, know what we only want to know, and serve only when it's convenient (which are all key facets of Western individualism and congregationalism). In other words, not only can we not be in relationship with God on our own, but we have to preserve the Church so that others can know, love, and serve Him as well.